Presenter: Refet S. Gürkaynak
Affiliation: Bilkent University, Department of Economics
Paper: News and Noise Shaping International Yield Curves
Date: February 7, 2023
Time: 13:00 GMT (15:00 Israel Time)
Abstract: We study the joint response of US and euro area yields to both US and euro area news using a new semi-latent factor methodology, where some news are observable and some are not. US news announcements have larger effects than EA announcements, perhaps because the latter are less timely and released in a more staggered way. We show that not only are there spillovers from the US to the euro area, but also the other way around, although to a lesser extent. Overall, our understanding of yield curve movements is much better than previously thought.
Coauthor: Mark Kerssenfischer (Deutsche Bundesbank), Burçin Kısacıkoğlu (Bilkent University), and Jonathan H. Wright (Johns Hopkins University).