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Bond yield spillovers from major advanced economies to emerging Asia
Author(s) -
Belke Ansgar,
Dubova Irina,
Volz Ulrich
Publication year - 2018
Publication title -
pacific economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.34
H-Index - 33
eISSN - 1468-0106
pISSN - 1361-374X
DOI - 10.1111/1468-0106.12256
Subject(s) - government bond , economics , emerging markets , bond , spillover effect , yield (engineering) , monetary economics , bond market , monetary policy , yield curve , sovereignty , interest rate , term (time) , government (linguistics) , variance (accounting) , econometrics , macroeconomics , finance , linguistics , philosophy , materials science , physics , accounting , quantum mechanics , politics , political science , law , metallurgy
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.