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

42 Pages Posted: 18 Jun 2007

See all articles by Andrew J. Swiston

Andrew J. Swiston

International Monetary Fund (IMF)

Tamim Bayoumi

International Monetary Fund (IMF); Centre for Economic Policy Research (CEPR)

Date Written: June 2007

Abstract

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.

Suggested Citation

Swiston, Andrew J. and Bayoumi, Tamim, The Ties that Bind: Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields (June 2007). IMF Working Paper No. 07/128, Available at SSRN: https://ssrn.com/abstract=994462

Andrew J. Swiston (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Tamim Bayoumi

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-6333 (Phone)
202-623-4795 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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