亚开行-发达经济体的通货膨胀如何影响新兴市场债券收益率?来自两个渠道的经验证据(英)-2023.9-39页.pdfVIP

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亚开行-发达经济体的通货膨胀如何影响新兴市场债券收益率?来自两个渠道的经验证据(英)-2023.9-39页.pdf

HowDoesInflationinAdvancedEconomiesAffectEmergingMarketBondYields?

EmpiricalEvidencefromTwoChannels

Thisstudyusesmultivariablesmoothtransitionautoregressive–vectorautoregressive(STAR–VAR),anovel

modeltoexplorehowinflationinadvancedeconomiesaffectsemergingmarketbondyields.Resultsreveal

twokeyfindings.First,advancedeconomyinflationhasasignificanteffectonemergingmarketbondyields.

Second,theshort-runeffectofadvancedeconomyinflationonthebondyieldsofemergingmarketsis

asymmetricbetweentheexpansionandcontractionregimes.T

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