International yield curve comovements: impact of the recent financial crisis

Kavita Sirichand () and Simeon Coleman ()

Applied Economics, 2015, vol. 47, issue 43, 4561-4573

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.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2015.1031875 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: International yield curve comovements: impact of the recent financial crisis (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:47:y:2015:i:43:p:4561-4573

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2015.1031875

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().