Byrne, Joseph P.; Fazio, Giorgio; Fiess, Norbert - In: Journal of Banking & Finance 36 (2012) 1, pp. 183-192
The decoupling of US short and long interest rates has been a distinctive feature of the 2000s. We employ recent advances in panel econometrics to document this disconnect for industrial countries and link it to a global latent factor in long term rates. We investigate whether international...