Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 17, 2021 erstellt
Description:
This paper investigates the importance of US macro news in driving high-and low-frequency fluctuations in advanced small open economies (SOEs) bond yields. We show that US macro news are significantly more important in explaining yield curve dynamics in SOEs than domestic news itself. We decompose the response SOEs bond yields into the break even inflation rates and real rates, and show that US news disproportionately explains changes to SOEs break even inflation rates. We also show that not only US monetary policy news are important drivers of SOEs bond yield changes, but also business cycle news (GDP growth, CPI and employment changes) play a significant role in shaping SOEs yield curves