Jotikasthira, Chotibhak; Le, Anh; Lundblad, Christian - In: Journal of Financial Economics 115 (2015) 1, pp. 58-83
Yield curve fluctuations across different currencies are highly correlated. This paper investigates this phenomenon by exploring the channels through which macroeconomic shocks are transmitted across borders. Macroeconomic shocks affect current and expected future short-term rates as central...