Arbeitspapier
Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 7896
- Klassifikation
-
Wirtschaft
Monetary Policy
Interest Rates: Determination, Term Structure, and Effects
International Policy Coordination and Transmission
Economic Impacts of Globalization: Finance
- Thema
-
interest rate spillovers
term premia
emerging economies
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mehrotra, Aaron
Moessner, Richhild
Shu, Chang
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mehrotra, Aaron
- Moessner, Richhild
- Shu, Chang
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2019
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