Wong, Edwin; Lucia, Kathlyn; Price, Stephanie; Startz, … - In: Journal of International Money and Finance 30 (2011) 6, pp. 965-981
The term structures of Canada and of the United States, two countries with historically interdependent economic ties, have been closely linked. We investigate the link between Canadian and U.S. yield curves and show previously strong correlations between yield curve components dissipate after...