International Yield Spillovers
研究了外国经济通过长期国债收益率变化对美国产生的溢出效应，发现外国冲击至少解释了近期美国长期收益率20%的日波动，且美外国收益率差可预测美国长期收益率。
Abstract This article investigates spillovers from foreign economies to the U.S. through changes in long-term Treasury yields. We document a decline in the contribution of U.S. domestic news to the variance of long-term Treasury yields and an increased importance of overnight yield changes, a proxy for foreign shocks’ contribution to U.S. yields. A model that identifies U.S., Euro area, and U.K. shocks that move global yields suggests that foreign shocks account for at least 20% of the daily variation in long-term U.S. yields in recent years. We also document the predictability of long-term U.S. yields by the U.S.–foreign yield spread.