EconPapers    
Economics at your fingertips  
 

Decomposing Global Yield Curve Co-Movement

Joseph Byrne (), Shuo Cao and Dimitris Korobilis

Essex Finance Centre Working Papers from University of Essex, Essex Business School

Abstract: This paper explains the co-movement of global yield curve dynamics using a Bayesian hierarchical factor model augmented with macro fundamentals. Our novel modeling approach reveals the relative importance of global shocks through two transmission channels: the policy and risk channels. Global inflation is the most important traditional macro fundamentals for international yields and operates through a policy channel. Economic uncertainty and sentiment are also important in driving global yield co-movements, through a risk channel.

Keywords: Global Yield Curves; Co-Movement; Transmission Channels; Global Fundamentals; Sentiment; Economic Uncertainty; Bayesian Factor Model (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-ifn
Date: 2016-05-17
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://repository.essex.ac.uk/18194/ original version (application/pdf)

Related works:
Journal Article: Decomposing global yield curve co-movement (2019) Downloads
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:esy:uefcwp:18194

Access Statistics for this paper

More papers in Essex Finance Centre Working Papers from University of Essex, Essex Business School Contact information at EDIRC.
Bibliographic data for series maintained by Nikolaos Vlastakis ().

 
Page updated 2019-11-15
Handle: RePEc:esy:uefcwp:18194