{
  "title": "Global Factors in the Term Structure of Interest Rates",
  "publication": "IMF Working Papers, November 5, 2013",
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  "summary": "This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies.",
  "sections": [
    {
      "heading": "Key findings",
      "content": "- The paper introduces global factors within a FAVAR framework in an empirical affine term structure model.\n- Applying the method to a panel of international yield curves shows that global factors account for more than 80 percent of term premia in advanced economies.\n- Global factors tend to explain long-term dynamics in yield curves.\n- Domestic factors are more relevant to short-run movements in yield curves.\n- The study uncovers a key role for global curvature in shaping term premia dynamics.\n- This novel global curvature factor precedes global economic and financial instability.\n- The global curvature factor coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis."
    },
    {
      "heading": "Methodology and scope",
      "content": "- Framework: FAVAR (Factor-Augmented Vector Autoregression) within an empirical affine term structure model.\n- Data: A panel of international yield curves (details in the Working Paper).\n- Focus: Decomposition of term premia into global versus domestic components; identification of global curvature as a distinct factor."
    },
    {
      "heading": "Implications and interpretation",
      "content": "- Global factors dominate long-term term-premia variation in advanced economies (more than 80 percent).\n- Short-run yield movements are driven primarily by domestic factors.\n- Global curvature can serve as an early indicator of global economic and financial instability.\n- The alignment of the global curvature factor with expectations of permanent expansionary monetary policy links global-term-premia dynamics to crisis-time policy expectations.\n\n---\n\n Content in this bundle\n\n- wp13223\n  - wp13223 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp13223 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/global-factors-in-the-term-structure-of-interest-rates-41030"
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    "Authors: Mirko Abbritti, Salvatore Dell'Erba, Antonio Moreno, Sergio Sola",
    "Published: November 5, 2013",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781475513516.001",
    "The paper introduces global factors within a FAVAR framework in an empirical affine term structure model.",
    "Applying the method to a panel of international yield curves shows that global factors account for more than 80 percent of term premia in advanced economies.",
    "Global factors tend to explain long-term dynamics in yield curves.",
    "Domestic factors are more relevant to short-run movements in yield curves.",
    "The study uncovers a key role for global curvature in shaping term premia dynamics.",
    "This novel global curvature factor precedes global economic and financial instability.",
    "The global curvature factor coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.",
    "Framework: FAVAR (Factor-Augmented Vector Autoregression) within an empirical affine term structure model.",
    "Data: A panel of international yield curves (details in the Working Paper).",
    "Focus: Decomposition of term premia into global versus domestic components; identification of global curvature as a distinct factor.",
    "Global factors dominate long-term term-premia variation in advanced economies (more than 80 percent).",
    "Short-run yield movements are driven primarily by domestic factors.",
    "Global curvature can serve as an early indicator of global economic and financial instability.",
    "The alignment of the global curvature factor with expectations of permanent expansionary monetary policy links global-term-premia dynamics to crisis-time policy expectations.",
    "**_wp13223**"
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