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Decomposing Global Yield Curve Co-Movement

Byrne, JP and Cao, S and Korobilis, D (2016) Decomposing Global Yield Curve Co-Movement. Working Paper. Essex Finance Centre Working Papers, Colchester.

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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.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Global Yield Curves, Co-Movement, Transmission Channels, Global Fundamentals, Sentiment, Economic Uncertainty, Bayesian Factor Model
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jim Jamieson
Date Deposited: 22 Nov 2016 09:55
Last Modified: 30 Oct 2017 11:15
URI: http://repository.essex.ac.uk/id/eprint/18194

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