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首页> 外文期刊>Journal of financial economics >Channels of US monetary policy spillovers to international bond markets
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Channels of US monetary policy spillovers to international bond markets

机译：美国货币政策溢出到国际债券市场的渠道

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We show significant US monetary policy (MP) spillovers to international bond markets. Our methodology identifies US MP shocks as the change in short-term Treasury yields around Federal Open Market Committee meetings and traces their effects on international bond yields using panel regressions. We emphasize three main results. First, US MP spillovers to long-term yields have increased substantially after the 2007-2009 global financial crisis. Second, spillovers are large compared with the effects of other events, and at least as large as the effects of domestic MP after 2008. Third, spillovers work through different channels, concentrated in risk-neutral rates (expectations of future MP rates) for developed countries, but predominantly on term premia in emerging markets. In interpreting these findings, we provide evidence consistent with an exchange rate channel, according to which foreign central banks face a trade-off between narrowing MP rate differentials or experiencing currency movements against the US dollar. Developed countries adjust in a manner consistent with freely floating regimes, responding partially with risk-neutral rates and partially through currency adjustments. Instead, emerging countries display patterns consistent with foreign exchange interventions, which cushion the response of exchange rates but reinforce capital flows and their effects in bond yields through movements in term premia. Our results suggest that the endogenous effects of currency interventions on long-term yields should be added into the standard cost-benefit analysis of such policies. (C) 2019 Elsevier B.V. All rights reserved.
机译：我们向国际债券市场展示了大量的美国货币政策（MP）溢出效果。我们的方法论将美国MP震动确定为联邦公开市场委员会会议周围短期财务收益率的变化，并使用小组回归追溯其对国际债券收益率的影响。我们强调三个主要结果。首先，在2007 - 2009年全球金融危机之后，美国MP溢出至长期产量增加。其次，与其他事件的影响相比，溢出率大幅大，而且至少与2008年以后的国内MP的影响一样大。第三，溢出通过不同渠道的溢出，集中在风险中立的速率（预期未来MP率的预期）开发国家，但主要是在新兴市场中的首席首页。在解释这些调查结果时，我们提供了与汇率渠道一致的证据，根据该汇率渠道符合汇率差异之间的权衡，或者对美元兑美元经历货币流动。发达国家以符合自由浮动制度的方式调整，部分地响应风险中立率，部分通过货币调整。相反，新兴国家展示了与外汇干预措施一致的模式，这种情况缓解了汇率的响应，但加强了资本流动的响应，并通过主导的阶段通过运动的债券收益率的影响。我们的研究结果表明，应将货币干预对长期收益率的内源性效应纳入此类政策的标准成本效益分析。 （c）2019 Elsevier B.v.保留所有权利。

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