Both of the main components of long-term interest rates matter for monetary policy spillovers, but the effects differ between advanced and emerging economies, a Bank for International Settlements working paper finds.

Aaron Mehrotra, Richhild Moessner and Chang Shu say the global co-movement of long-term rates is well documented, but less work has been done on the details. They decompose US sovereign bond yields into expectations of future inflation and rates, and term premia, examining how