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Why do term structures in different currencies co-move?

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Cited by:

  1. Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
  2. Robert C. M. Beyer & Lazar Milivojevic, 2023. "Dynamics and synchronization of global equilibrium interest rates," Applied Economics, Taylor & Francis Journals, vol. 55(28), pages 3195-3214, June.
  3. O’Sullivan, Conall & Papavassiliou, Vassilios G., 2020. "On the term structure of liquidity in the European sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 114(C).
  4. Hodrick, Robert J. & Tomunen, Tuomas, 2021. "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," Critical Finance Review, now publishers, vol. 10(1), pages 83-123, April.
  5. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
  6. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
  7. Bekaert, Geert & Hoerova, Marie & Xu, Nancy, 2023. "Risk, Monetary Policy and Asset Prices in a Global World," CEPR Discussion Papers 18229, C.E.P.R. Discussion Papers.
  8. Bertrand Candelon & Rubens Moura, 2024. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," Journal of Financial Econometrics, Oxford University Press, vol. 22(5), pages 1558-1587.
  9. Mikhail Chernov & Drew Creal, 2023. "International Yield Curves and Currency Puzzles," Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
  10. Ilek, Alex & Rozenshtrom, Irit, 2018. "The term premium in a small open economy: A micro-founded approach," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 333-352.
  11. Koijen, Ralph & Yogo, Motohiro, 2020. "Exchange Rates and Asset Prices in a Global Demand System," CEPR Discussion Papers 14874, C.E.P.R. Discussion Papers.
  12. Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
  13. Marcello Pericoli & Marco Taboga, 2015. "Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model," Temi di discussione (Economic working papers) 1023, Bank of Italy, Economic Research and International Relations Area.
  14. Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
  15. Hui, Cho-Hoi & Wong, Andrew & Lo, Chi-Fai, 2022. "A note on modelling yield curve control: A target-zone approach," Finance Research Letters, Elsevier, vol. 49(C).
  16. Shuo Cao, 2018. "Learning about Term Structure Predictability under Uncertainty," GRU Working Paper Series GRU_2018_006, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
  17. Venetis, Ioannis & Ladas, Avgoustinos, 2022. "Co-movement and global factors in sovereign bond yields," MPRA Paper 115801, University Library of Munich, Germany.
  18. Michael Chin & Thomai Filippeli & Konstantinos Theodoridis, 2015. "Cross-Country Co-movement in Long-Term Interest Rates: A DSGE Approach," Working Papers 753, Queen Mary University of London, School of Economics and Finance.
  19. Stenfors, Alexis & Dilshani, Kaveesha & Guo, Andy & Mere, Peter, 2024. "Detecting the risk of cross-product manipulation in the EUREX fixed income futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
  20. David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021. "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
  21. Stenfors, Alexis & Doraghi, Mehrdaad & Soviany, Cristina & Susai, Masayuki & Vakili, Kaveh, 2023. "Cross-market spoofing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  22. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2019. "Decomposing global yield curve co-movement," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 500-513.
  23. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2023. "Time-varying bond market integration and the impact of financial crises," International Review of Financial Analysis, Elsevier, vol. 90(C).
  24. De Santis, Roberto A. & Zimic, Srečko, 2019. "Interest rates and foreign spillovers," Working Paper Series 2221, European Central Bank.
  25. Disyatat, Piti & Rungcharoenkitkul, Phurichai, 2017. "Monetary policy and financial spillovers: Losing traction?," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 115-136.
  26. Cavaca, Igor Bastos & Meurer, Roberto, 2021. "International monetary policy spillovers: Linkages between U.S. and South American yield curves," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 737-754.
  27. Candelon, Bertrand & Moura, Rubens, 2021. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," LIDAM Discussion Papers LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
  28. Oguzhan Cepni & Ibrahim Ethem Guney & Doruk Kucuksarac & M. Hasan Yilmaz, 2021. "Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1214-1229, November.
  29. Jonathan Kearns & Andreas Schrimpf & Fan Dora Xia, 2023. "Explaining Monetary Spillovers: The Matrix Reloaded," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(6), pages 1535-1568, September.
  30. Alexander Thompson, 2020. "Emerging Powers and Differentiation in Global Climate Institutions," Global Policy, London School of Economics and Political Science, vol. 11(S3), pages 61-72, October.
  31. Inaba, Kei-Ichiro, 2021. "An empirical illustration of the integration of sovereign bond markets," Journal of Multinational Financial Management, Elsevier, vol. 61(C).
  32. Urom, Christian & Guesmi, Khaled & Abid, Ilyes & Dagher, Leila, 2023. "Dynamic integration and transmission channels among interest rates and oil price shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 296-317.
  33. Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
  34. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  35. S. Mouabbi, 2014. "An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia," Working papers 527, Banque de France.
  36. Azad, A.S.M. Sohel & Batten, Jonathan A. & Fang, Victor, 2015. "What determines the yen swap spread?," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 1-13.
  37. Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2016. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," Research Papers 3411, Stanford University, Graduate School of Business.
  38. Lin, Mucai & Niu, Linlin, 2021. "Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve," Journal of International Money and Finance, Elsevier, vol. 111(C).
  39. Kei-Ichiro Inaba, 2020. "The Integration of Countries' Sovereign Bond Markets: An Empirical Illustration of a Global Financial Cycle," IMES Discussion Paper Series 20-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
  40. Haroon Mumtaz & Konstantinos Theodoridis, 2016. "Volatility Co-movement and the Great Moderation. An Empirical Analysis," Working Papers 804, Queen Mary University of London, School of Economics and Finance.
  41. Moura, Rubens, 2022. "MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk," LIDAM Discussion Papers LFIN 2022001, Université catholique de Louvain, Louvain Finance (LFIN).
  42. Wang, Xi & Yang, Jiao-Hui & Wang, Kai-Li & Fawson, Christopher, 2017. "Dynamic information spillovers in intraregionally-focused spot and forward currency markets," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 78-110.
  43. Piti Disyatat & Phurichai Rungcharoenkitkul, 2016. "Financial globalisation and monetary independence," BIS Papers chapters, in: Bank for International Settlements (ed.), Expanding the boundaries of monetary policy in Asia and the Pacific, volume 88, pages 213-225, Bank for International Settlements.
  44. Feng Zhao & Guofu Zhou & Xiaoneng Zhu, 2021. "Unspanned Global Macro Risks in Bond Returns," Management Science, INFORMS, vol. 67(12), pages 7825-7843, December.
  45. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
  46. Disyatat, Piti & Rungcharoenkitkul, Phurichai, 2017. "Monetary policy and financial spillovers: Losing traction?," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 115-136.
  47. Bauer, Gregory H., 2017. "International house price cycles, monetary policy and credit," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 88-114.
  48. Kiryoung LEE & Chanik JO, 2018. "Forecasting Chinese Business Cycle Using Long-term Interest Rate Comovements," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 118-134, December.
  49. Alexis Stenfors & Ioannis Chatziantoniou & David Gabauer, 2022. "The Evolution of Monetary Policy Focal Points," Journal of Economic Issues, Taylor & Francis Journals, vol. 56(2), pages 348-355, April.
  50. Michael Chin & Thomai Filippeli & Konstantinos Theodoridis, 2015. "Cross-Country Co-movement in Long-Term Interest Rates: A DSGE Approach," Working Papers 753, Queen Mary University of London, School of Economics and Finance.
  51. Cieslak, Anna & Schrimpf, Andreas, 2019. "Non-monetary news in central bank communication," Journal of International Economics, Elsevier, vol. 118(C), pages 293-315.
  52. Shambaugh, Jay C. & Zhou, Hang, 2024. "Interest rates across the world: Global, regional, and idiosyncratic factors," Journal of Banking & Finance, Elsevier, vol. 163(C).
  53. Benjamin H Cohen & Peter Hördahl & Dora Xia, 2018. "Term premia: models and some stylised facts," BIS Quarterly Review, Bank for International Settlements, March.
  54. Umar, Zaghum & Bossman, Ahmed & Teplova, Tamara & Marfo-Yiadom, Edward, 2024. "Does time-varying risk aversion sentiment matter in the connectedness among Sub-Saharan African bond markets?," Emerging Markets Review, Elsevier, vol. 61(C).
  55. Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
  56. Candelon, Bertrand & Moura, Rubens, 2023. "Sovereign yield curves and the COVID-19 in emerging markets," Economic Modelling, Elsevier, vol. 127(C).
  57. Francisco Jareño & Ana Escribano & Zaghum Umar, 2023. "The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
  58. Kavita Sirichand & Simeon Coleman, 2015. "International yield curve comovements: impact of the recent financial crisis," Applied Economics, Taylor & Francis Journals, vol. 47(43), pages 4561-4573, September.
  59. Stona, Filipe & Caldeira, João F., 2019. "Do U.S. factors impact the Brazilian yield curve? Evidence from a dynamic factor model," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 76-89.
  60. Gabauer, David & Stenfors, Alexis, 2024. "Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve," Finance Research Letters, Elsevier, vol. 60(C).
  61. David Gabauer & Sowmya Subramaniam & Rangan Gupta, 2022. "On the transmission mechanism of Asia‐Pacific yield curve characteristics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 473-488, January.
  62. Sohel Azad, A.S.M. & Batten, Jonathan A. & Fang, Victor & Wickramanayake, Jayasinghe, 2015. "International swap market contagion and volatility," Economic Modelling, Elsevier, vol. 47(C), pages 355-371.
  63. Raúl-Alberto Chamorro-Narváez & Andrés-Camilo Santos-Ospina & Andrés-Felipe Urrea-Bermúdez, 2020. "Política fiscal subnacional y ciclos económicos regionales: análisis para el caso de los departamentos en Colombia, 2000-2016," Ensayos de Economía 19136, Universidad Nacional de Colombia Sede Medellín.
  64. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
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