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The Ties that Bind: Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields

The Ties that Bind: Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields by Andrew Swiston
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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.
International Monetary Fund; June 2007
40 pages; ISBN 9781452776354
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Title: The Ties that Bind: Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields
Author: Andrew Swiston; Tamim Bayoumi
 
ISBNs
1451911459
9781451866926
9781451911459
9781452776354