TY  - JOUR
AU  - Diebold,Francis X.
AU  - Li,Canlin
AU  - Yue,Vivian Z.
TI  - Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13588
PY  - 2007
Y2  - November 2007
UR  - http://www.nber.org/papers/w13588
L1  - http://www.nber.org/papers/w13588.pdf
N1  - Author contact info:
Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu

Canlin Li
Federal Reserve Board
E-Mail: canlin.li@frb.gov

Vivian Z. Yue
Federal Reserve Board
Mail stop 20
Washington
DC 20551
E-Mail: vivianyue1@gmail.com
AB  - The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.
ER  -