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 metadata

  Item type:	Article
  ID code:	83239
  Dates:	Date Event 1 September 2019 Published 2 August 2019 Published Online 25 July 2019 Accepted
  Subjects:	Social Sciences > Finance
  Department:	Strathclyde Business School > Economics
  Depositing user:	Pure Administrator
  Date deposited:	16 Nov 2022 16:52
  Last modified:	11 Nov 2024 13:36
  Related URLs:	http://eprints.gla.ac.uk/191577/
  URI:	https://strathprints.strath.ac.uk/id/eprint/83239