2014-05-192014-05-192014-05-192014-05-19https://repositorio.banrep.gov.co/handle/20.500.12134/6109We study the relationship between US and Colombian sovereign debt interest rates. We also evaluate the response of the Colombian long-term bond yield and other asset prices to shocks to the US long-term Treasury rate. Two empirical exercises are performed. First, we use a moving window linear regression to examine the link between sovereign bond yields. Second, we estimate a VARX – MGARCH model to compute the short-term response of local asset prices to foreign financial shocks. Our exercises consider daily data between 2004 and 2013. The analysis is performed on three sample periods (i.e. before, during and after the global financial crisis). Our findings show that the link between sovereign bond yields has changed over time. Moreover, the short-run responses of local asset prices to foreign financial shocks have been qualitatively different in the three periods. The especial role of US Treasuries as a “safe haven asset” during highly volatile time spans seems to be at the root of these changes.PDFspaOpen AccessWorking PaperC30 - Multiple/Simultaneous Equation Models; Multiple Variables: GeneralE43 - Interest Rates: Determination, Term Structure, and EffectsE58 - Central Banks and Their PoliciesF42 - International Policy Coordination and TransmissionG15 - International Financial MarketsLong-term Bond YieldsGlobal Financial CrisisEmerging MarketsMoving Window Linear RegressionVARX – MGARCH ModelAcceso abiertoAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0C30 - Modelos de ecuaciones múltiples/simultáneas; Variables múltiples: GeneralidadesE43 - Tipos de interés: determinación, estructura temporal y efectosE58 - Bancos centrales y sus políticasF42 - Coordinación y transmisión de la política internacionalG15 - Mercados financieros internacionalesLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.https://hdl.handle.net/20.500.12134/6109