Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 7896

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Interest Rates: Determination, Term Structure, and Effects ; International Policy Coordination and Transmission ; Economic Impacts of Globalization: Finance
• Subject: interest rate spillovers ; term premia ; emerging economies

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Mehrotra, Aaron ; Moessner, Richhild ; Shu, Chang
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/207287
• Last update: 10.03.2025, 11:44 AM CET