Channels of US Monetary Policy Spillovers to International Bond Markets: Advanced vs. Emerging Market Economies

Albagli, Elías; Ceballos, Luis; Claro, Sebastián; Romero, Damián

doi:10.2139/ssrn.2684921

Cited by 3 publications

(1 citation statement)

References 23 publications

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“…Passari and Rey (2015) use these shocks to quantify monetary spillovers to the United Kingdom, and Rey (2014) extends the analysis to Australia, Canada, New Zealand, Sweden, and the U.K. She finds significant monetary policy spillovers to mortgage spreads in all cases and to policy rates in Canada and New Zealand. Gilchrist, Yue and Zakrajsek (2015) and Albagli et al (2015) estimate the impact of these shocks on asset prices in emerging economies.…”

Section: Identification Of Monetary Policy Shocksmentioning

confidence: 99%

Global Financial Conditions and Monetary Policy Autonomy

Cáceres

Carrière‐Swallow²,

Gruss³

2016

IMF Working Papers

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Is the Mundell-Fleming trilemma alive and well? International co-movement of asset prices takes place alongside synchronized business cycles, complicating the identification of financial spillovers and assessments of monetary policy autonomy. A benchmark for interest rate comovement is to impose the null hypothesis that central banks respond only to the outlook for domestic inflation and output. We show that common approaches used to estimate interest rate spillovers tend to understate the degree of monetary autonomy enjoyed by small open economies with flexible exchange rates. We propose an empirical strategy that partials out those spillovers that are associated with impaired monetary autonomy. Using this approach, we revisit the predictions of the trilemma and find more compelling evidence that flexible exchange rates deliver monetary autonomy than prior work has suggested.

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Section: Identification Of Monetary Policy Shocksmentioning

confidence: 99%

Global Financial Conditions and Monetary Policy Autonomy

Cáceres

Carrière‐Swallow²,

Gruss³

2016

IMF Working Papers

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Liquidity risk: Intraday liquidity and price spillovers in euro area sovereign bond markets

Jurkšas

Teresienė

Kanapickienė

2021

RGC

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The purpose of this paper is to determine the cross-market liquidity and price spillover effects across euro area sovereign bond markets. The analysis is carried out with the constructed minute frequency order-book dataset from 2011 until 2018. This derived dataset covers the six largest euro area markets for benchmark 10-year sovereign bonds. To estimate the cross-market spillover effect between sovereign bonds, it was decided to use the empirical approach proposed by Diebold and Yilmaz (2012) and combine it with the vector error correction model (VECM). We also employed the panel regression model to identify why some bond markets had a higher spillover effect while others were smaller. The dependent variable was the daily average spillover effect of a particular bond. As the spillover effects vary highly across different bonds, country-specific fixed effects were used, and the clustered standard errors were calculated for robustness reasons. Lastly, the cross-market spillovers were analyzed daily to compare them with the results of the model with intraday data. The analysis was performed with rolling 100-day window variance decompositions and a 10-day forecast horizon for six sovereign bonds and the overnight indexed swap (OIS) market. The results of the created time-series model revealed that intraday cross-market spillovers exist but are relatively weak, especially in the case of liquidity spillovers. As the cross-market linkages became much more robust with the model using daily data, the liquidity or price disbalances between different markets are usually corrected on longer intervals than minutes. Distance between countries is the most important explanatory variable and is negatively linked to the magnitude of both liquidity and price spillovers. These findings should be of particular interest to bond market investors, risk managers, and analysts who try to scrutinize the liquidity and price transmission mechanism of sovereign bonds in their portfolios.

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La faiblesse des taux d’intérêt à long terme : un phénomène mondial

Sobrun¹,

Turner²

2016

Revue d'Économie Financière

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Avec le renforcement des liens internationaux qui existent entre les taux d’intérêt à long terme libellés dans différentes devises, l’extrême faiblesse des taux d’intérêt est devenue un phénomène mondial. Les taux directeurs réels d’équilibre (taux naturels) ont chuté dans de nombreux pays. Les primes de terme sur les marchés obligataires sont faibles – voire négatives – dans beaucoup de devises. Les causes fondamentales de ces évolutions, qui donnent à penser que la « nouvelle normalité » pour les taux d’intérêt est plus basse que par le passé, font encore débat. L’avenir nous le dira. Classification JEL : E43, E52, F41, G15.

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Channels of US Monetary Policy Spillovers to International Bond Markets: Advanced vs. Emerging Market Economies

Cited by 3 publications

References 23 publications

Global Financial Conditions and Monetary Policy Autonomy

Global Financial Conditions and Monetary Policy Autonomy

Liquidity risk: Intraday liquidity and price spillovers in euro area sovereign bond markets

La faiblesse des taux d’intérêt à long terme : un phénomène mondial

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