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
Main Author: Byrne, Joseph P
Cao, Shuo
Korobilis, Dimitris
Format: Publication
Language: English
Place of publication: Elsevier 27.07.2019
ORCID: 0000-0001-9146-3008
Data of publication: 2019-07-27
Online Access: available in Bonn?
Database: OpenAIRE (Open Access)
Database information Databases - DBIS