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Decoupling euro area and US yield curves

Author

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  • MOJON, B.
  • PEGORARO, F.

Abstract

The levels and amplitudes of fluctuations of longer-term US and euro area interest rates have been quite similar since 2001, with an exception from 2005 to 2007 when euro area rates were lower. We show that interest rate differentials between the United States and the euro area usually reflect differences in inflation and GDP forecasts. Given that the cyclical gap between the United States and the euro area is rising back to the levels observed in 2004 and 2005, a decoupling between US and euro area interest rates could be sizeable and persistent.

Suggested Citation

  • Mojon, B. & Pegoraro, F., 2014. "Decoupling euro area and US yield curves," Rue de la Banque, Banque de France, issue 01, december..
    • Handle: RePEc:bfr:rueban:2014:01
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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/rue-de-la-banque_01_2014-12_en.pdf
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    References listed on IDEAS

    as
    1. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
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