US news has a large impact on global bond yields – research

Bank of Canada research finds US news affects expectations in other countries

Bank of Canada, Ottawa
Bank of Canada, Ottawa
Photo: Matthew Liteplo Photography

US macroeconomic news impacts expectations of interest rates in Canada, Sweden and the UK more than news about the countries’ own economies, research published by the Bank of Canada finds.

Bingxin Ann Xing, Bruno Feunou, Morvan Nongni-Donfack and Rodrigo Sekkel used two separate models to confirm their findings: a macro-finance affine term structure model and a regression-based framework.

“US macroeconomic news is particularly important to explain low-frequency changes in the expectation

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