A0383
Title: News and noise shape international yield curves
Authors: Refet Gurkaynak - Bilkent University (Turkey)
Mark Kerssenfischer - Deutsche Bundesbank (Germany)
Burcin Kisacikoglu - Bilkent University (Turkey) [presenting]
Jonathan Wright - Johns Hopkins University (United States)
Abstract: The joint response of US and Euro area yields is studied for both US and euro area news using a new semi-latent factor methodology, where some news is observable and some is not. US news announcements have larger effects than EA announcements, perhaps because the latter are less timely and released in a more staggered way. It is shown 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, the understanding of yield curve movements is much better than previously thought.
