Template-Type: ReDIF-Paper 1.0
Author-Name: Aaron Mehrotra
Author-X-Name-First: Aaron
Author-X-Name-Last: Mehrotra
Author-Name: Richhild Moessner
Author-X-Name-First: Richild
Author-X-Name-Last: Moessner
Author-Name: Chang Shu
Author-X-Name_First: Chang
Author-X-Name-Last: Shu
Title: Interest rate spillovers from the United States: expectations, term premia and macro-financial vulnerabilities
Abstract: We analyse how movements in the components of sovereign bond yields in the United States affect long-term rates in 10 advanced and 21 emerging economies. The paper documents significant global spillovers from both the expectations and term premia components of long-term rates in the United States. We find that spillovers to domestic long-term rates in emerging economies from the US expectations components tend to be more sizeable than those from the US term premia. Finally, spillovers from US term premia are larger when an emerging economy displays greater macro-financial vulnerabilities.
Length: 17 pages
Creation-Date: 2019-09
File-URL: https://www.bis.org/publ/work814.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work814.htm
File-Format: text/html
Number: 814
Classification-JEL: E52, E43, F42, F65
Keywords: interest rate spillovers, term premia, emerging economies
Handle: RePEc:bis:biswps:814