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_865kb

Summary of "How Does Inflation in Advanced Economies Affect Emerging Market Bond Yields?"

Introduction

This study examines the impact of inflation in advanced economies (US, Japan, Germany) on emerging market bond yields in Asia-Pacific regions (e.g., China, Indonesia, South Korea), using a STAR-VAR model to analyze two transmission channels. It addresses gaps in literature by considering regime changes and nonlinear effects.

Methodology

• Employs a multivariable smooth transition autoregressive–vector autoregressive (STAR–VAR) model to capture nonlinear dynamics and endogenous regime shifts between expansion and contraction phases.
• Incorporates data on bond yields, GDP growth, exchange rates, and inflation from sources like ADB and IMF.
• Compares results with simple linear VAR models to highlight nonlinear effects.

Key Findings

• Advanced economy inflation significantly influences emerging market bond yields, including both short-run and long-run effects.
• The impact is asymmetric between bond market regimes: Positive in both expansion and contraction phases, but stronger in contraction regimes, defying a simple Fisher equation relationship.
• Regime changes are triggered by inflation, with faster transitions for shorter-maturity bonds.

Conclusion

The asymmetric effects of inflation spillovers imply "dynamic Fisher effects," meaning bond yield responses depend on market conditions. This has implications for risk management and policy in emerging markets, suggesting future research on factors like trading volumes and foreign investment.