Economics Research Seminar – Professor Laura Coroneo
Title: Across the Borders, Above the Bounds: A Non-Linear Framework for International Yield Curves
Date: 09 October 2024
Time: 13:30 – 14:30
Venue: NUBS.4.23
If you would like to attend, please register using the following link:
Across the Borders, Above the Bounds: A Non-Linear Framework for International Yield Curves
Speaker: Professor Laura Coroneo
Laura Coroneo, Professor, Department of Economics, UNIVERSITY OF YORK https://www.york.ac.uk/economics/people/laura-coroneo/ Laura Coroneo (BA Bologna, MSc ULB Brussels, PhD ULB Brussels) is Professor of Economics at the Department of Economics and Related Studies of the University of York, coordinator of the Centre for Applied Macro-Finance and executive committee member of the Money, Macro and Finance (MMF) Society. Her primary field of research is applied macro-finance, with a particular focus on time series econometrics and empirical finance. Her research investigates the yield curve of government bonds and its relation to macroeconomic fundamentals. She also works on forecast evaluation, monetary policy and financial econometrics. Her work has been published in leading peer-reviewed international journals, including the Journal of Business and Economic Statistics, the Journal of Money, Credit and Banking, the Journal of Applied Econometrics and the Journal of Economic Dynamics and Control, and was awarded the ESRC – Future Research Leaders grant (2013-16).
Abstract:
This paper presents a non-linear framework to evaluate spillovers across domestic and international yield curves when policy rates are constrained by the zero lower bound. Based on the sample of US and UK data, we estimate a joint shadow rate model of international yield curves, accounting for the zero lower bound, no-arbitrage conditions within and between government bond markets, and the global nature of some of the bond risk factors. Results indicate that the post-2009 US monetary policy transmission mechanism and its spillover effects on the UK yield curve are non-linear and asymmetric.