Interest Rate Co-movements, Global Factors and the Long End of the Term Spread

Joseph Paul Byrne, Giorgio Fazio, Norbert Fiess

Research output: Working paperDiscussion paper

22 Downloads (Pure)

Abstract

The disconnect between rising short and low long interest rates has been a distinctive feature of the 2000s. Both research and policy circles have argued that international forces, such as global monetary policy (e.g. Rogoff, 2006); international business cycles (e.g. Borio and Filardo, 2007); or a global savings glut (e.g Bernanke, 2005) may be responsible. In this paper, we employ recent advances in panel data econometrics to document the disconnect and link it explicitly to the existence of a global latent factor that dominates the long end of the term spread for the recent period; the saving glut story emerges as the most likely contender for the global factor.
Original languageEnglish
Place of PublicationEdinburgh
PublisherScottish Institute for Research in Economics
Publication statusUnpublished - 2010

Publication series

NameSIRE Discussion Papers
No.2010-24

Keywords

  • Short and Long Interest Rates
  • Financial Globalization
  • Panel Data
  • Factor Models

Fingerprint Dive into the research topics of 'Interest Rate Co-movements, Global Factors and the Long End of the Term Spread'. Together they form a unique fingerprint.

  • Cite this

    Byrne, J. P., Fazio, G., & Fiess, N. (2010). Interest Rate Co-movements, Global Factors and the Long End of the Term Spread. (SIRE Discussion Papers; No. 2010-24). Scottish Institute for Research in Economics. http://hdl.handle.net/10943/156