Global and Idiosyncratic Components of Dynamic of Yield Curve

Student: Diachenko Dmitrii

Supervisor: Victor A Lapshin

Educational Programme: Economics (Bachelor)

Year of Graduation: 2016

This paper examines interconnection in the financial markets and provide analysis of integration of Canada, China, United Kingdom, Deutschland, Japan, Korea, Russian Federation and United States of America into the global financial market. Authors also build sovereign yield curves for each country, global yield curve and present optimal approaches to build global curve. Furthermore authors were found idiosyncratic components of yield curves and showed dependency to a sovereign macroeconomics factors. As a result, the best way of modeling global curve for the developed countries - constructing curves by maturity, for developing countries in the sample the best method is parametric.

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