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

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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