Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2019 erstellt
Description:
Sovereign bond yields in more than 20 developed and emerging market economies are decomposed into expected short rates and term premia using the Adrian, Crump and Moench (2013) approach. I document that (i) term premia account for large fractions of global bond yield variation; (ii) the co-movement of sovereign bond yields is, to a large extent, driven by the term premium components of sovereign yields, especially in recent years; (iii) connectedness and tail dependence between international bond markets are primarily driven by the term premium components of global yields; and (iv) global bond yields strongly respond to US target rate shocks, albeit with considerable delay. This response is primarily driven by a reassessment of global policy rate expectations.Full Publication: "http://ssrn.com/abstract=3383273" Asia-Pacific Fixed Income Markets: Evolving Structure, Participation and Pricing