Spencer, Peter orcid.org/0000-0002-5595-5360, Meldrum, Andrew and Raczko, Marek (2023) The information in joint term structures of bond yields. Journal of International Money and Finance. 102828. ISSN 0261-5606
Abstract
While the open-economy macroeconomics literature amply demonstrates the importance of allowing for trade and financial linkages between countries, the finance literature on the term structure of interest rates has largely adopted a ‘‘closed-economy” setting in which yields in one country depend only on their own lagged values. This paper examines whether it is in fact necessary to jointly model yields in multiple countries, as proposed by a handful of recent studies. We show that there is little convincing evidence that would point to such a need. The reason is that bond yields are forward-looking variables: any relevant information about foreign countries is likely to be already reflected in today’s domestic yield curve
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2023 Published by Elsevier Ltd. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. |
Keywords: | : Term structure model International interest rate co-movemen |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 11 Apr 2023 13:10 |
Last Modified: | 03 Dec 2024 11:03 |
Published Version: | https://doi.org/10.1016/j.jimonfin.2023.102828 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1016/j.jimonfin.2023.102828 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:198125 |
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