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Swiston, Andrew.

The Ties that Bind Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields / Andrew Swiston. [electronic resource] : Andrew Swiston. - Washington, D.C. : International Monetary Fund, 2007. - 1 online resource (40 p.) - IMF Working Papers; Working Paper ; No. 07/128 . - IMF Working Papers; Working Paper ; No. 07/128 .

This paper explores international bond spillovers using daily and intra-day data on yields on inflation-indexed bonds and associated inflation expectations for the United States, Australia, Canada, France, Sweden, Japan, and the United Kingdom. The analysis starts in 2002, by which point U.S. inflation-indexed markets were fully mature. Real bond yields are found to be closely linked across countries, with developments in U.S. markets determining around half of real foreign yields and no evidence of spillovers back to the United States. Spillovers in inflation expectations are smaller and the direction of causation is less clear.

ISBN: 1451866925 : 18.00 USD

ISSN: 1018-5941

Standard No.: 10.5089/9781451866926.001 doi

Subjects--Topical Terms:
Bond
Bonds
Market Efficiency
Real Rates

Subjects--Geographic Terms:
Australia
Canada
Japan
United Kingdom
United States