| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26012 |
| 来源ID | Working Paper 26012 |
| US Monetary Policy and International Bond Markets | |
| Simon Gilchrist; Vivian Yue; Egon Zakrajšek | |
| 发表日期 | 2019-07-01 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | This paper uses high-frequency financial data to analyze the effects of US monetary policy—during the conventional and unconventional policy regimes—on international bonds markets. We focus on yields of dollar-denominated sovereign bonds issued by more than 90 countries since the early 1990s, which allows us to abstract from the policy-induced movements in exchange rates that otherwise confound the response of yields on foreign bonds denominated in local currencies. Our results show that yields on dollar-denominated sovereign debt are highly responsive to unanticipated changes in the stance of US monetary policy during both the conventional and unconventional policy regimes, and that the passthrough of unconventional policy actions to foreign bond yields is, on balance, comparable to that of conventional policy actions. In addition, a conventional US monetary easing leads to a significant narrowing of credit spreads on sovereign bonds issued by countries with a speculative-grade credit rating. During the unconventional policy regime, however, yields on speculative-grade sovereign debt move one-to-one with policy-induced fluctuations in yields on comparable US Treasuries. We also examine whether the response of sovereign credit spreads to US monetary policy differs between policy easings and policy tightenings and find no evidence of such asymmetry. This finding casts doubt on the notion that US monetary easings induce excessive risk-taking in international bond markets. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w26012 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583686 |
| 推荐引用方式 GB/T 7714 | Simon Gilchrist,Vivian Yue,Egon Zakrajšek. US Monetary Policy and International Bond Markets. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26012.pdf（562KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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