The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields
IMF Working Papers, June 1, 2007
Source details
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- The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields
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Bibliographic details
- Authors: Andrew J Swiston, Tamim Bayoumi
- Published: June 1, 2007
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451866926.001
Data and scope
- Daily and intra-day data on yields on inflation-indexed bonds and associated inflation expectations for: United States, Australia, Canada, France, Sweden, Japan, and the United Kingdom.
- Analysis period begins in 2002, "by which point U.S. inflation-indexed markets were fully mature."
- Publication specifics: Pages: 40; Volume: 2007; Issue: 128; Series: Working Paper No. 2007/128; DOI: https://doi.org/10.5089/9781451866926.001; Stock No: WPIEA2007128; ISBN: 9781451866926; ISSN: 1018-5941.
Key findings on real bond yields
- Real bond yields are closely linked across countries.
- Developments in U.S. markets determine around half of real foreign yields.
- No evidence of spillovers from foreign markets back to the United States.
Key findings on inflation expectations
- Spillovers in inflation expectations are smaller than for real yields.
- The direction of causation for inflation expectations spillovers is less clear.
Subject classifications and keywords
- Subject: Bond yields, Inflation, Inflation-indexed bonds, Real interest rates, Spillovers
- Keywords: real interest rate, WP, yield
Source: IMF Working Papers — "The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields" by Andrew J Swiston and Tamim Bayoumi, June 1, 2007.