US Monetary Policy and International Bond Markets

34 Pages Posted: 18 Feb 2018

See all articles by Simon Gilchrist

Simon Gilchrist

New York University (NYU)

Vivian Z. Yue

Emory University; Federal Reserve Bank of Atlanta

Egon Zakrajsek

Federal Reserve Board - Division of Monetary Affairs

Multiple version iconThere are 2 versions of this paper

Date Written: February 5, 2018


This paper uses high-frequency data to analyze the effects of US monetary policy -- during the conventional and unconventional policy regimes -- on foreign government bonds markets in advanced and emerging market economies. The results indicate that an expansionary US monetary policy steepens the foreign yield curve -- denominated in local currency -- during a conventional US monetary policy regime and flattens the foreign yield curve during an unconventional policy regime. The pass-through of unconventional US monetary policy to foreign bond yields is, on balance, comparable to that of conventional policy. In addition a conventional US monetary easing leads to a significant narrowing of the credit spreads on dollar-denominated sovereign bonds that are issued by countries with a speculative-grade sovereign credit rating. However, during the unconventional policy regime, yields on speculative-grade sovereign debt denominated in dollars move one-to-one with yields on comparable-maturity US Treasury securities.

Keywords: Conventional and Unconventional US Monetary Policy, Financial Spillovers, Sovereign Yields and Credit Spreads

JEL Classification: E4, E5, F3

Suggested Citation

Gilchrist, Simon and Yue, Vivian and Zakrajsek, Egon, US Monetary Policy and International Bond Markets (February 5, 2018). FEDS Working Paper No. 2018-014. Available at SSRN: or

Simon Gilchrist (Contact Author)

New York University (NYU) ( email )

Bobst Library, E-resource Acquisitions
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New York, NY 10003-711
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Vivian Yue

Emory University ( email )

1602 Fishburne Dr
Atlanta, GA 30327
United States


Federal Reserve Bank of Atlanta ( email )

1000 Peachtree Street N.E.
Atlanta, GA 30309-4470
United States

Egon Zakrajsek

Federal Reserve Board - Division of Monetary Affairs ( email )

20th and C Streets, NW
Washington, DC 20551
United States
202-728-5864 (Phone)
202-452-3819 (Fax)

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