Bond yield spillovers from major advanced economies to emerging Asia. (6th February 2018)

• Record Type: Journal Article
• Authors: Belke, Ansgar; Dubova, Irina; Volz, Ulrich
• Other Names: Aizenman Joshua guestEditor.; Cheung Yin‐Wong guestEditor.; Chantapacdepong Pornpinun guestEditor.
• Is Part Of: Pacific economic review. Volume 23:Number 1(2018)
• Page Start: 109
• Page End: 126
• Publication Date: 2018-02-06
• Subjects: Pacific Area -- Economic conditions -- Periodicals; 330
• DOI: 10.1111/1468-0106.12256
• Languages: English
• ISSNs: 1361-374X

Abstract

Abstract: This article 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 article uses vector autoregressive (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.