Title: Long-term interest rate spillovers from the United States: Expectations, term premia and uncertainty
Authors: Richhild Moessner - Bank for International Settlements (Switzerland) [presenting]
Aaron Mehrotra - BIS (Switzerland)
Chang Shu - BIS (Hong Kong)
Abstract: The aim is to analyse how changes in the components of United States government bond yields affect long-term rates in other major advanced and in emerging market economies, and the role of financial market, policy and geopolitical uncertainty for such spillovers. We find significant spillovers from both the expectations and term premia components of long-term rates in the United States. Changes in the United States term premia affect long-term rates somewhat more in advanced economies than in emerging economies. But when global financial market uncertainty rises, spillovers from US term premia to long-term rates are amplified in both groups of countries. Policy uncertainty increases interest rate spillovers to advanced economies, while geopolitical risk boosts spillovers to emerging market economies.