Title: Networking the yield curve
Authors: Julia Schaumburg - VU University Amsterdam (Netherlands) [presenting]
Tatjana Dahlhaus - Bank of Canada (Canada)
Tatevik Sekhposyan - Texas A and M University (United States)
Abstract: The term structure of interest rates and its dynamics across the business cycle are studied. Relative to the empirical literature on modeling the yield curve, it addresses the contemporaneous cross-correlations between the yields of different maturities, above and beyond what could be modeled by assuming a common factor structure across the yields. The contributions are twofold. First, we propose a spacial time series modeling framework for the yield curve and investigate its performance in a context of simulations. We further apply the model to the Treasury yields in the US and link the dynamics of the contemporaneous correlations and their evolution to the business cycle and the conduct of monetary policy.