Seminar in Applied Economics: Refet S. Gurkaynak
OCT 12, 2021 | 12:00 PM TO 1:45 PM
October 12, 2021: 12:00 PM-1:45 PM
For the Fall 2021 Seminar in Applied Economics, Professor Refet S. Gurkaynak will be presenting on "News, Noise, and Anchoring Shape International Yield Curves".
We study the joint response of US and euro area yields to both US and euro area news using a new semi-latent factor methodology. We show that not only are there spillovers from the US to euro area, but also the other way around. More importantly, we find that the absolute contribution of market noise to the variance of long term yields in the US and EA are about the same but noise captures a grater percentage of variation in the EA because news affect long term yields less in the EA due to stronger anchoring of inflation expectations. We provide a complete breakdown of yield variances in event windows into news and noise–where noise is not simply a residual–in both the US and EA, where some news are observable and some are not, and argue that our understanding of yield curve movements is much better than thought.
This is an online event. Please register here to participate via Zoom.
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