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来源类型Article and other Publication
规范类型其他
DOI10.1111/1468-0106.12256
Bond yield spillovers from major advanced economies to emerging Asia
Belke, Ansgar; Irina Dubova; Ulrich Volz
出版年2018
摘要This article 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 article uses vector autoregressive (VAR) variance decompositions with high frequency data. Our results reveal that sovereign bond yields in emerging Asia responded significantly to changes to US and eurozone bond yields, although the magnitudes were heterogeneous across countries. The size 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.
URLhttps://www.die-gdi.de/en/others-publications/article/bond-yield-spillovers-from-major-advanced-economies-to-emerging-asia-1/
来源智库German Development Institute (Germany)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/499383
推荐引用方式
GB/T 7714
Belke, Ansgar,Irina Dubova,Ulrich Volz. Bond yield spillovers from major advanced economies to emerging Asia.
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