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A general measure to identify the strength of global interest rate comovements is proposed based on entropy theory. The approach captures interest rate interdependence through traditional linear channels using second-order comoments and non-linear channels through the inclusion of higher-order comoments. Using monthly short-term shadow rates for Australia, Canada, Europe, Japan, New Zealand, Switzerland and the UK between January 1999 to May 2020, the empirical results show evidence of positive and significant interdependence with the US rate for most countries, with international rates becoming more independent during the post-GFC period as a result of changes in the strength of higher-order comoments. The empirical results also highlight the importance of using shadow rates to measure global interest rate comovements, especially during periods of unconventional monetary policy when interest rates operate at or near the lower bound.
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