| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16365 |
| DP16365 International Yield Co-movements | |
| Geert Bekaert; Andrey Ermolov | |
| 发表日期 | 2021-07-15 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We decompose long-term nominal bond yields into real and inflation components in an international context using inflation-linked and nominal bonds. In contrast to extant results, real rate variation dominates the variation in inflation-linked and nominal yields. Cross-country nominal and inflation-linked yield correlations have declined since the Great Recession. Real rates are the main source of the correlation between nominal yields. Our results are robust to various alternative measurements of inflation expectations and the liquidity premium. They continue to hold when a no-arbitrage term structure model with real, nominal, and inflation factors is used to effect the yield decomposition. |
| 主题 | Financial Economics |
| 关键词 | Treasuries Sovereign bonds Cross-country co-movement Real yield Expected inflation Inflation risk premium Liquidity premium |
| URL | https://cepr.org/publications/dp16365 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545327 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Andrey Ermolov. DP16365 International Yield Co-movements. 2021. |
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