This article explores the extent to which changes to long‐term interest rates in major advanced economies have influenced long‐term government bond yields in emerging Asia. To gauge long‐term interest spillover effects, the article uses vector autoregressive (VAR) variance decompositions with high frequency data. Our results reveal that sovereign bond yields in emerging Asia responded significantly to changes to US and eurozone bond yields, although the magnitudes were heterogeneous across countries. The size of spillovers varied over time. The pattern of these variations can partially be explained by the implementation of different unconventional monetary policy measures in advanced countries.

中文翻译：

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从主要发达经济体到新兴亚洲的债券收益率溢出

本文探讨了主要发达经济体的长期利率变化在多大程度上影响了新兴亚洲国家的长期政府债券收益率。为了评估长期利息溢出效应，本文使用了带有高频数据的向量自回归（VAR）方差分解。我们的结果表明，新兴国家的主权债券收益率对美国和欧元区债券收益率的变化做出了重大反应，尽管各国之间的收益率差异很大。溢出的大小随时间变化。可以通过在发达国家实施不同的非常规货币政策措施来部分解释这些变化的模式。