Sovereign CDS spreads exhibit strong co-movements across countries. We use dynamic latent factor modelling to filter the global, regional and country effects on the spreads of 37 sovereigns. On average, approximately two-thirds of monthly CDS variability is accounted for by international...

Despite its important role in monetary policy and finance, the expectations hypothesis (EH) of the term structure of interest rates has received virtually no empirical support. The empirical failure of the EH was attributed to a variety of econometric biases associated with the single-equation...

Despite its important role in monetary policy and finance, the expectations hypothesis (EH) of the term structure of interest rates has received virtually no empirical support. The empirical failure of the EH was attributed to a variety of econometric biases associated with the single-equation...