Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212928 
Year of Publication: 
2019
Series/Report no.: 
BOFIT Discussion Papers No. 20/2019
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
We analyse how movements in the components of sovereign bond yields in the United States affect long-term rates in 10 advanced and 21 emerging economies. The paper documents significant global spillovers from both the expectations and term premia components of long-term rates in the United States. We find that spillovers to domestic long-term rates in emerging economies from the US expectations components tend to be more sizeable than those from the US term premia. Finally, spillovers from US term premia are larger when an emerging economy displays greater macro-financial vulnerabilities.
JEL: 
E52
E43
F42
F65
Persistent Identifier of the first edition: 
ISBN: 
978-952-323-302-7
Document Type: 
Working Paper

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