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) |
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| 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: | 07 Aug 2019 21:15 |
| URI: | http://repository.essex.ac.uk/id/eprint/18194 |
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