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What Explains International Interest Rate Co‐Movement?

Annika Camehl & Gregor von Schweinitz

Journal of Applied Econometrics2026https://doi.org/10.1002/jae.70044article
AJG 3ABDC A*
Weight
0.50

Abstract

The international co‐movement of interest rates reflects correlated business‐cycle fluctuations, largely driven by demand shocks. Monetary policy in advanced economies follows domestic mandates—inflation and the output gap—and does not respond to foreign policy shocks. We derive this result from a Bayesian structural panel vector autoregression with informative priors, homogeneity restrictions on contemporaneous relations, a hierarchical Minnesota prior with cross‐sectional shrinkage, and a factor structure for structural shocks.

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https://doi.org/https://doi.org/10.1002/jae.70044

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@article{annika2026,
  title        = {{What Explains International Interest Rate Co‐Movement?}},
  author       = {Annika Camehl & Gregor von Schweinitz},
  journal      = {Journal of Applied Econometrics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1002/jae.70044},
}

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What Explains International Interest Rate Co‐Movement?

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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