Decomposing global yield curve co-movement

This paper studies the co-movement of global yield curve dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. Our data-driven approach is able to pin down the drivers of yield curve dynamics and produce plausible term premium estimates. We reveal the relativ...

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Bibliographic details
Volume: 106
Main Author: Byrne, Joseph P
Cao, Shuo
Korobilis, Dimitris
Format: Journal Article
Language: English
Place of publication: AMSTERDAM Elsevier B.V 01.09.2019
ELSEVIER
published in: Journal of banking & finance Vol. 106; pp. 500 - 513
ORCID: 0000-0002-7291-590X
0000-0001-9146-3008
0000-0002-0623-0398
Data of publication: September 2019
ISSN: 0378-4266
1872-6372
EISSN: 1872-6372
Discipline: Business
Economics
Subjects:
C11
C32
E43
G12
G15
F3
Online Access: available in Bonn?
Database: Web of Knowledge
Web of Science - Social Sciences Citation Index – 2019
Social Sciences Citation Index
Web of Science
CrossRef
Database information Databases - DBIS