Archive for August 3rd, 2022

A global shock to bond yields: co-movement of sovereign bond yields in advanced economies

August 3, 2022

Mattia Girotti, Guillaume Horny, Adrian Penalver and Anna Petronevich  in this Banque de France post say that global factor explains the co-movement in bond yields of advanced economies:

The co-movement of sovereign bond yields has been unusually strong in the most recent period. A global factor usually explains much of the variation in 10-year yields. What has been particularly striking over the recent months is the importance of a global factor in explaining 2-year yields. This suggests a common shock is driving expectations of monetary policy in the major advanced economies.


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