This paper documents the channels through which U.S. monetary policy impacts the sovereign bond yields of emerging markets. Traditional decompositions of sovereign yields are not suitable for emerging markets because they rely on a default-free assumption. Instead, I decompose the yields of 15...

This paper reviews the literature on the relation between short- and long-term interest rates. It summarizes the mixed evidence on the expectations hypothesis of the term structure: when long rates are high relative to short rates, short rates tend to rise as implied by the expectations...

We investigate the association between ECB monetary policy and market-perceived short- term and long-term bank risk, using the term structure of default risk captured by bank CDS spreads. During the period 2009-2020, ECB expansionary monetary policy diminished bank default risk in the short...