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

    Belke, Ansgar; Dubova, Irina; Volz, Ulrich | March 2017
    Abstract
    This paper explores the extent to which changes to long-term interest rates in major developed economies have influenced long-term government bond yields in emerging Asia. To gauge long-term interest spillover effects, the paper uses vector autoregressive variance decompositions with high-frequency data. Our results reveal that sovereign bond yields in emerging Asia responded significantly to changes to the United States 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 developed countries.
    Citation
    Belke, Ansgar; Dubova, Irina; Volz, Ulrich. 2017. Long-Term Interest Rate Spillovers from Major Developed Economies to Emerging Asia. © Asian Development Bank Institute. http://hdl.handle.net/11540/7713.
    Keywords
    Economic integration
    Development Bank
    Capital Market
    Regional Plans
    Regional Development Bank
    Development finance
    Municipal Bonds
    Asian Development Bank
    Development
    Regional Economic Integration
    Financial Sector Policies
    Financial Risk Management
    Bond Financing
    Development Banks
    Local government bonds
    Bonds
    Catastrophe bonds
    Bond funds
    Bond market
    Multilateral development banks
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    Citable URI
    http://hdl.handle.net/11540/7713
    Metadata
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    adbi-wp705.pdf (2.203Mb)
    Author
    Belke, Ansgar
    Dubova, Irina
    Volz, Ulrich
    Theme
    Finance
    Regional
     
    Copyright 2016-2020 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2020 Asian Development Bank Institute, except as explicitly marked otherwise