TY - BOOK ID - 84541069 TI - The Ties that Bind : Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields AU - Swiston, Andrew. AU - Bayoumi, Tamim. AU - International Monetary Fund. PY - 2007 SN - 1462349773 1452776350 1282391747 9786613820174 1451911459 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Business. KW - Income -- Econometric models. KW - Monetary policy -- Econometric models. KW - Banks and Banking KW - Inflation KW - Investments: Bonds KW - Macroeconomics KW - Interest Rates: Determination, Term Structure, and Effects KW - General Financial Markets: General (includes Measurement and Data) KW - Price Level KW - Deflation KW - Externalities KW - Finance KW - Investment & securities KW - Real interest rates KW - Spillovers KW - Inflation-indexed bonds KW - Bond yields KW - Interest rates KW - Bonds KW - Prices KW - International finance KW - United States KW - Bond market KW - Government securities KW - Inflation (Finance) KW - Econometric models. UR - https://www.unicat.be/uniCat?func=search&query=sysid:84541069 AB - This paper explores international bond spillovers using daily and intra-day data on yields on inflation-indexed bonds and associated inflation expectations for the United States, Australia, Canada, France, Sweden, Japan, and the United Kingdom. The analysis starts in 2002, by which point U.S. inflation-indexed markets were fully mature. Real bond yields are found to be closely linked across countries, with developments in U.S. markets determining around half of real foreign yields and no evidence of spillovers back to the United States. Spillovers in inflation expectations are smaller and the direction of causation is less clear. ER -