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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.
Business. --- Income -- Econometric models. --- Monetary policy -- Econometric models. --- Banks and Banking --- Inflation --- Investments: Bonds --- Macroeconomics --- Interest Rates: Determination, Term Structure, and Effects --- General Financial Markets: General (includes Measurement and Data) --- Price Level --- Deflation --- Externalities --- Finance --- Investment & securities --- Real interest rates --- Spillovers --- Inflation-indexed bonds --- Bond yields --- Interest rates --- Bonds --- Prices --- International finance --- United States --- Bond market --- Government securities --- Inflation (Finance) --- Econometric models.
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