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International yield curve comovements: impact of the recent financial crisis

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  • Simeon Coleman

    (School of Business and Economics, Loughborough University)

  • Kavita Sirichand

    (School of Business and Economics, Loughborough University)

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

  • Simeon Coleman & Kavita Sirichand, 2014. "International yield curve comovements: impact of the recent financial crisis," Discussion Paper Series 2014_07, Department of Economics, Loughborough University, revised Jul 2014.
    • Handle: RePEc:lbo:lbowps:2014_07
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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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    More about this item

    Keywords

    Interest rates; comovement;

    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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