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International yield curve comovements: impact of the recent financial crisis

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  • Kavita Sirichand
  • Simeon Coleman

Abstract

Empirical evidence on international yield comovement is sparse and lacks consensus. Employing a dynamic correlation approach, we show that during the recent global financial crisis, euro area yields have ceased to comove with the yields of the other international markets - Canada, UK and US. Some implications of our results are discussed.

Suggested Citation

  • 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.
  • Handle: RePEc:taf:applec:v:47:y:2015:i:43:p:4561-4573
    DOI: 10.1080/00036846.2015.1031875
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    Cited by:

    1. S Coleman & K Sirichand, 2015. "Investigating Multiple Changes in Persistence in International Yields," Economic Issues Journal Articles, Economic Issues, vol. 20(1), pages 65-90, March.

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    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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