Interest rate co-movements, global factors and the long end of the term spread

Giorgio Fazio, Giorgio Fazio, Joseph P. Byrne, Norbert Fiess

Risultato della ricerca: Article

16 Citazioni (Scopus)

Abstract

The decoupling of US short and long interest rates has been a distinctive feature of the 2000s. We employ recent advances in panel econometrics to document this disconnect for industrial countries and link it to a global latent factor in long term rates. We investigate whether international forces, such as global inflation, global output, or the global savings glut may be behind this global latent factor. The savings glut is the most likely contender, suggesting that reserve accumulation and a search for yield from emerging markets has lowered long rates internationally, driving a wedge between domestic short and long rates.
Lingua originaleEnglish
pagine (da-a)183-192
Numero di pagine10
RivistaJOURNAL OF BANKING & FINANCE
Volume36
Stato di pubblicazionePublished - 2012

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Term spread
Factors
Comovement
Interest rates
Savings
Latent factors
Emerging markets
Developed countries
Decoupling
Panel econometrics
Inflation

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cita questo

Interest rate co-movements, global factors and the long end of the term spread. / Fazio, Giorgio; Fazio, Giorgio; Byrne, Joseph P.; Fiess, Norbert.

In: JOURNAL OF BANKING & FINANCE, Vol. 36, 2012, pag. 183-192.

Risultato della ricerca: Article

Fazio, Giorgio ; Fazio, Giorgio ; Byrne, Joseph P. ; Fiess, Norbert. / Interest rate co-movements, global factors and the long end of the term spread. In: JOURNAL OF BANKING & FINANCE. 2012 ; Vol. 36. pagg. 183-192.
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