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International yield curve comovements: impact of the recent financial crisis

Listed author(s):
  • Kavita Sirichand
  • Simeon Coleman

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.

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File URL: http://hdl.handle.net/10.1080/00036846.2015.1031875
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Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 47 (2015)
Issue (Month): 43 (September)
Pages: 4561-4573

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Handle: RePEc:taf:applec:v:47:y:2015:i:43:p:4561-4573
DOI: 10.1080/00036846.2015.1031875
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  1. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
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