What Explains International Interest Rate Co‐Movement
Bibliographic Data
| ID | 21653206 |
|---|---|
| Authors | Annika Camehl (0000-0002-3963-0793, Department of Econometrics Erasmus University Rotterdam Rotterdam the Netherlands, corresponding author), GREGOR VON SCHWEINITZ (0000-0001-9293-3470, Corvinus University Budapest Hungary) |
| Year | 2026 |
| Volume | 41 |
| Issue | 4 |
| Pages | 343-359 |
| Publication date | 2026-06-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Applied Econometrics (JOURNAL) |
| Journal identifiers | ISSN: 1099-1255 • E-ISSN: 0883-7252 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/jae.70044 |
| OpenAlex | W7128774748 |
| Language | EN |
| References cited | 55 |
The international co‐movement of interest rates reflects correlated business‐cycle fluctuations, largely driven by demand shocks. Monetary policy in advanced economies follows domestic mandates—inflation and the output gap—and does not respond to foreign policy shocks. We derive this result from a Bayesian structural panel vector autoregression with informative priors, homogeneity restrictions on contemporaneous relations, a hierarchical Minnesota prior with cross‐sectional shrinkage, and a factor structure for structural shocks
Bayesian probability · Bayesian vector autoregression · Interest rate · Monetary policy · Structural vector autoregression · Vector autoregression · Yield curve · Economic Policies and Impacts · Global Financial Crisis and Policies · Monetary Policy and Economic Impact
| Highly cited | No |
|---|