Arbeitspapier
Bond Yield Spillovers from Major Advanced Economies to Emerging Asia
This paper explores the extent to which changes to long-term interest rates in major advanced economies have influenced long-term government bond yields in Emerging Asia. To gauge long-term interest spillover effects, the paper uses VAR variance decompositions with high frequency data. Our results reveal that sovereign bond yields in Emerging Asia responded significantly to changes to US and Eurozone bond yields, although the magnitudes were heterogeneous across countries. The size of spillovers varied over time. The pattern of these variations can partially be explained by the implementation of different unconventional monetary policy measures in advanced countries.
- Language
-
Englisch
- Bibliographic citation
-
Series: GLO Discussion Paper ; No. 41
- Classification
-
Wirtschaft
Monetary Policy
Central Banks and Their Policies
International Policy Coordination and Transmission
- Subject
-
Long-term interest rates
bond yields
monetary policy spillovers
Emerging Asia
- Event
-
Geistige Schöpfung
- (who)
-
Belke, Ansgar
Dubova, Irina
Volz, Ulrich
- Event
-
Veröffentlichung
- (who)
-
Global Labor Organization (GLO)
- (where)
-
Maastricht
- (when)
-
2017
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Belke, Ansgar
- Dubova, Irina
- Volz, Ulrich
- Global Labor Organization (GLO)
Time of origin
- 2017
Other Objects (12)
Bond yield spillovers from major advanced economies to emerging Asia
Impact of a low interest rate environment: Global liquidity spillovers and the search-for-yield
Impact of a Low Interest Rate Environment - Global Liquidity Spillovers and the Search-for-yield
ECB bond purchases and quasi-fiscal activities
Towards a genuine economic and monetary Union-comments on a roadmap
Long-term interest rate spillovers from major advanced economies to emerging Asia
Long-term interest rate spillovers from major developed economies to emerging Asia
Long-term interest rate spillovers from major advanced economies to emerging Asia
Driven by the Markets? ECB Sovereign Bond Purchases and the Securities Markets Programme
Driven by the markets? ECB sovereign bond purchases and the securities markets programme
Driven by the markets? ECB sovereign bond purchases and the securities markets programme
Driven by the markets? ECB sovereign bond purchases and the securities market programme
Bond yield spillovers from major advanced economies to emerging Asia
Impact of a low interest rate environment: Global liquidity spillovers and the search-for-yield
Impact of a Low Interest Rate Environment - Global Liquidity Spillovers and the Search-for-yield
ECB bond purchases and quasi-fiscal activities
Towards a genuine economic and monetary Union-comments on a roadmap
Long-term interest rate spillovers from major advanced economies to emerging Asia
Long-term interest rate spillovers from major developed economies to emerging Asia
Long-term interest rate spillovers from major advanced economies to emerging Asia
Driven by the Markets? ECB Sovereign Bond Purchases and the Securities Markets Programme
Driven by the markets? ECB sovereign bond purchases and the securities markets programme
Driven by the markets? ECB sovereign bond purchases and the securities markets programme
Driven by the markets? ECB sovereign bond purchases and the securities market programme
Bond yield spillovers from major advanced economies to emerging Asia
Impact of a low interest rate environment: Global liquidity spillovers and the search-for-yield
Impact of a Low Interest Rate Environment - Global Liquidity Spillovers and the Search-for-yield
ECB bond purchases and quasi-fiscal activities
Towards a genuine economic and monetary Union-comments on a roadmap
Long-term interest rate spillovers from major advanced economies to emerging Asia
Long-term interest rate spillovers from major developed economies to emerging Asia
Long-term interest rate spillovers from major advanced economies to emerging Asia
Driven by the Markets? ECB Sovereign Bond Purchases and the Securities Markets Programme
Driven by the markets? ECB sovereign bond purchases and the securities markets programme
Driven by the markets? ECB sovereign bond purchases and the securities markets programme