The Ties that Bind [electronic resource] : Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields / Andrew Swiston.
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TextSeries: IMF Working Papers; Working Paper ; No. 07/128Publication details: Washington, D.C. : International Monetary Fund, 2007Description: 1 online resource (40 p.)ISBN: 1451866925 :ISSN: 1018-5941Subject(s): Bond | Bonds | Market Efficiency | Real Rates | Australia | Canada | Japan | United Kingdom | United StatesAdditional physical formats: Print Version:: The Ties that Bind : Measuring International Bond Spillovers Using Inflation-Indexed Bond YieldsOnline resources: IMF e-Library | IMF Book Store Abstract: 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.
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.
Description based on print version record.
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