Decomposing Global Yield Curve Co-Movement

Joseph Paul Byrne, Shuo Cao, Dimitris Korobilis

Research output: Working paperDiscussion paper

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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.
Original languageEnglish
Publication statusUnpublished - 2016

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    Byrne, J. P., Cao, S., & Korobilis, D. (2016). Decomposing Global Yield Curve Co-Movement.