Ruhr Economic Papers

Ruhr Economic Papers #663

Long-Term Interest Rate Spillovers from Major Advanced Economies to Emerging Asia

by Ansgar Belke, Irina Dubova and Ulrich Volz

RGS, UDE, 11/2016, 38 S./p., 8 Euro, ISBN 978-3-86788-769-4 DOI: 10.4419/86788769

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Abstract

This paper 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 paper uses VAR variance decompositions with high frequency data. Our results reveal that sovereign bond yields in Emerging Asia responded significantly to changes in US and Eurozone bond yields, although the magnitudes were heterogeneous across countries. The magnitude 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.

JEL-Classification: E52, E58, F42

Keywords: Long-term interest rates; bond yields; monetary policy spillovers; Emerging Asia

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