International yield curve comovements: impact of the recent financial crisis

Simeon Coleman () and Kavita Sirichand ()

Discussion Paper Series from Department of Economics, Loughborough University

Abstract: Empirical evidence on international yield comovement is sparse and lacks consensus. Employing a dynamic correlation approach, we show that during the recent global financial crisis euro area yields have ceased to comove with the yields of the other international markets - Canada, UK and US. Some implications of our results are discussed.

Keywords: Interest rates; comovement (search for similar items in EconPapers)
JEL-codes: E43 F21 (search for similar items in EconPapers)
Date: 2014-07, Revised 2014-07
New Economics Papers: this item is included in nep-eec and nep-mac
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Citations: View citations in EconPapers (1)

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Journal Article: International yield curve comovements: impact of the recent financial crisis (2015)
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