The emergence of systemic risk from the 2008 Global Financial Crisis (GFC) and the recent energy market shocks following the COVID-19 pandemic and the onset of the Russo-Ukrainian war highlighted the importance of understanding shock spillovers for policymakers and academics alike. Specifically,...

This study investigates the sovereign yield curve network of 12 developed countries. We decompose the term structure of interest rates into the Level, Slope, and Curvature factors using the Diebold and Li (2006) model. The connections between the latent yield curve factors across the countries...