Interest rate spillovers from the United States : expectations, term premia and macro-financial vulnerabilities

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Title: Interest rate spillovers from the United States : expectations, term premia and macro-financial vulnerabilities
ISBN: 978-952-323-302-7
Author: Mehrotra, Aaron ; Moessner, Richhild ; Shu, Chang
Organization: Bank of Finland
Department / Unit: Institute for Economies in Transition (BOFIT)
Series: BOFIT Discussion Papers
ISSN: 1456-5889
Series year: 2019
Series number: 20/2019
Year of publication: 2019
Publication date: 16.10.2019
Pages: 20
Subject (yso): korko; odotukset
Keywords: Bofit-kokoelma; kehittyvät markkinat; Yhdysvallat
JEL: E52; E43; F42; F65
Other keywords: interest rate spillovers; term premia; emerging economies
Abstract: 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.
Table of contents: Abstract ..4 1 Introduction ..5 2 Methodology and data ..7 3 Empirical results ..11 3.1 Interest rate spillovers ..11 3.2 Macro-financial vulnerabilities ..14 4. Conclusions ..16 References ..17 Appendix ..19
Rights: https://helda.helsinki.fi/bof/copyright


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