Global Factors in the Term Structure of Interest Rates
Palabras clave : 
Yield Curve
Global Factors
FAVAR
Affine Term Structure Models
Term Premium
Materias Investigacion::Economía y Empresa
Fecha de publicación: 
2014
Cita: 
Abbritti, M. (Mirko); Dell'Erba, S. (Salvatore); Moreno, A. (Antonio); et al. "Global Factors in the Term Structure of Interest Rates". En . , 2014,
Resumen
This paper introduces global factors within a FAVAR framework in an empirical affine ter m structure model. We apply our method to a panel of international yield curves and show tha t global factors account for more than 80 percent of term premia in advanced economies. In p articular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role fo r global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
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