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Measuring the global comovements of interest rates: Implications for monetary interdependence

ACDE Seminar

Speaker

Renee McKibbin, Australian National University

Venue

Other, please see description for details

Date

Tuesday, 5 October, 2021 - 14:00 to 15:30

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.

Find flyers, registration, and complete event details at https://crawford.anu.edu.au/news-events/events/19308/measuring-global-comovements-interest-rates-implications-monetary

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