Bond Yield Spillovers from Major Advanced Economies to Emerging Asia

18 Pages Posted: 20 Feb 2018

See all articles by Ansgar Hubertus Belke

Ansgar Hubertus Belke

University of Duisburg-Essen - Department of Economics and Business Administration; IZA Institute of Labor Economics; Centre for European Policy Studies

Irina Dubova

University of Duisburg-Essen

Ulrich Volz

University of London - School of Oriental and African Studies (SOAS) - Economics; Deutsches Institut für Entwicklungspolitik (DIE) - German Development Institute (DIE)

Date Written: February 2018

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.

Suggested Citation

Belke, Ansgar Hubertus and Dubova, Irina and Volz, Ulrich, Bond Yield Spillovers from Major Advanced Economies to Emerging Asia (February 2018). Pacific Economic Review, Vol. 23, Issue 1, pp. 109-126, 2018. Available at SSRN: https://ssrn.com/abstract=3124671 or http://dx.doi.org/10.1111/1468-0106.12256

Ansgar Hubertus Belke (Contact Author)

University of Duisburg-Essen - Department of Economics and Business Administration ( email )

Universitätsstr. 9
Essen, 45141
Germany

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Centre for European Policy Studies ( email )

1 Place du Congres, 1000
Brussels, 1000
Belgium

Irina Dubova

University of Duisburg-Essen ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

Ulrich Volz

University of London - School of Oriental and African Studies (SOAS) - Economics

London, WC1E 7HU
United Kingdom

Deutsches Institut für Entwicklungspolitik (DIE) - German Development Institute (DIE) ( email )

Tulpenfeld 4
Bonn, 53113
Germany

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