Decomposing global yield curve co-movement
Byrne, Joseph P. and Cao, Shuo and Korobilis, Dimitris (2019) Decomposing global yield curve co-movement. Journal of Banking and Finance, 106. pp. 500-513. ISSN 0378-4266 (https://doi.org/10.1016/j.jbankfin.2019.07.018)
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Abstract
This paper studies the co-movement of global yield curve dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. Our data-driven approach is able to pin down the drivers of yield curve dynamics and produce plausible term premium estimates. We reveal the relative importance of global shocks through two transmission channels: policy and risk channels. Global inflation is the most important core macro fundamental affecting international yields, operating through a policy channel. Two identified global yield factors significantly influence global yield co-movements through a risk channel.
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Item type: Article ID code: 83239 Dates: DateEvent1 September 2019Published2 August 2019Published Online25 July 2019AcceptedSubjects: Social Sciences > Finance Department: Strathclyde Business School > Economics Depositing user: Pure Administrator Date deposited: 16 Nov 2022 16:52 Last modified: 07 Oct 2024 22:26 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/83239