Advanced Search
MyIDEAS: Login

The Ties That Bind

Contents:

Author Info

  • Andrew Swiston
  • Tamim Bayoumi

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=20989
Download Restriction: no

Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 07/128.

as in new window
Length: 40
Date of creation: 01 Jun 2007
Date of revision:
Handle: RePEc:imf:imfwpa:07/128

Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Email:
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC

Order Information:
Web: http://www.imf.org/external/pubs/pubs/ord_info.htm

Related research

Keywords: Spillovers; Real interest rates; inflation; bond; bonds; real rates; bond yields; indexed bonds; bond markets; indexed bond; international bond; real interest rate; bond market; monetary policy; equity markets; international bond market; conventional bonds; financial markets; nominal interest rates; global bond; international bond markets; government bonds; real rate of interest; foreign exchange; nominal bonds; financial market; money markets; bond prices; equity market; foreign equity; interest rate policy; global bond markets; private bond; bond trading; international financial markets; international capital; government bond; inflation rates; sovereign bond; average inflation; monetary economics; long-term bond yields; stock prices; international finance; futures contracts; sovereign bond markets; global bond market; international capital markets; government bond yields; financial instruments; stock returns; private bonds; bond price; macroeconomic analysis; foreign stock; stock markets;

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Tamim Bayoumi & Andrew Swiston, 2007. "Foreign Entanglements," IMF Working Papers 07/182, International Monetary Fund.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:07/128. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.