Expectations and term premia both drive spillovers – BIS paper


Both of the main components of long-term interest rates matter for monetary policy spillovers, but the effects differ between advanced and emerging economies, a Bank for International Settlements working paper finds.

Aaron Mehrotra, Richhild Moessner and Chang Shu say the global co-movement of long-term rates is well documented, but less work has been done on the details. They decompose US sovereign bond yields into expectations of future inflation and rates, and term premia, examining how

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Central Banking? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account