The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and …-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U … ; Dynamic Factor Model ; Global Yield ; World Yield ; Bond Market …

We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU … countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has … adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000 …