Cover IMF Working Papers
The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields
Author: Mr. Andrew J Swiston and Mr. Tamim Bayoumi
Series:
IMF Working Papers
Volume/Issue:
Volume 2007: Issue 128
Language:
English
Publication Date:
01 Jun 2007
DOI:
https://doi.org/10.5089/9781451866926.001
ISBN:
9781451866926
ISSN:
1018-5941
Pages:
40
Keywords:
WP; real interest rate; yield
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund