International yield curve comovements: impact of the recent financial crisis

Empirical evidence on international yield comovement is sparse and lacks consensus. Employing a dynamic correlation approach, we show that during the recent global financial crisis euro area yields have ceased to comove with the yields of the other international markets - Canada, UK and US. Some implications of our results are discussed.

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Year of publication:	2014-07
Authors:	Coleman, Simeon ; Sirichand, Kavita
Institutions:	School of Business and Economics, Loughborough University
Subject:	Interest rates \| comovement

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Series:	Discussion Paper Series.
Type of publication:	Book / Working Paper
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; F21 - International Investment; Long-Term Capital Movements
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010819900