Bericht
Norwegian and International Yields in the 10 Year Segment
We investigate the relationship between the Norwegian 10 year Treasury yield and the corresponding yields in the major international markets, using both quarterly and monthly data. We find that the Norwegian yield is highly correlated with the EUR, USD and GBP yields. In recent years the correlation with the EUR yields has been stronger than correlations with the USD and GBP yields. We estimate error correction models for the difference between the Norwegian and the international yields. We establish that co-integrating relationships exist, but also that the convergence towards international yields is relatively slow. We test for the short term influence of macro variables on the yield difference and find some weak evidence that economic growth differences and unemployment differences are important, together with the price of oil.
- ISBN
-
978-82-7553-912-8
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Memo ; No. 6/2016
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Berg, Sigbjørn Atle
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Bericht
Beteiligte
- Berg, Sigbjørn Atle
- Norges Bank
Entstanden
- 2016
Ähnliche Objekte (12)
Strategy Report - The Norwegian Government Pension Fund - Global
Empirical Modelling of Norwegian Import Prices
Input-Output Analysis of the Norwegian Economy
Norwegian Gross Domestic Product by Industry 1830 - 1930
Failure Prediction of Norwegian Banks: A Logit Approach
Liquidity indicators for the Norwegian government bond market
Assessment of Credit Risk in the Norwegian Business Sector
Norges Bank's BEER Models for the Norwegian Effective Exchange Rate
When Does the Oil Price Affect the Norwegian Exchange Rate?
Norwegian Banks in a Recession: Procyclical Implications of Basel II
Price Adjustments and Inflation - Evidence from Norwegian Consumer Price Data 1975-2004
The Golden Interest Rule: Robust Simple Interest Rate Rules for the Norwegian Economy
Strategy Report - The Norwegian Government Pension Fund - Global
Empirical Modelling of Norwegian Import Prices
Input-Output Analysis of the Norwegian Economy
Norwegian Gross Domestic Product by Industry 1830 - 1930
Failure Prediction of Norwegian Banks: A Logit Approach
Liquidity indicators for the Norwegian government bond market
Assessment of Credit Risk in the Norwegian Business Sector
Norges Bank's BEER Models for the Norwegian Effective Exchange Rate
When Does the Oil Price Affect the Norwegian Exchange Rate?
Norwegian Banks in a Recession: Procyclical Implications of Basel II
Price Adjustments and Inflation - Evidence from Norwegian Consumer Price Data 1975-2004
The Golden Interest Rule: Robust Simple Interest Rate Rules for the Norwegian Economy
Strategy Report - The Norwegian Government Pension Fund - Global
Empirical Modelling of Norwegian Import Prices
Input-Output Analysis of the Norwegian Economy
Norwegian Gross Domestic Product by Industry 1830 - 1930
Failure Prediction of Norwegian Banks: A Logit Approach
Liquidity indicators for the Norwegian government bond market
Assessment of Credit Risk in the Norwegian Business Sector
Norges Bank's BEER Models for the Norwegian Effective Exchange Rate
When Does the Oil Price Affect the Norwegian Exchange Rate?
Norwegian Banks in a Recession: Procyclical Implications of Basel II
Price Adjustments and Inflation - Evidence from Norwegian Consumer Price Data 1975-2004