Why do term structures in different currencies co-move?

Ang, 2008, The term structure of real rates and expected inflation, Journal of Finance, 63, 797, 10.1111/j.1540-6261.2008.01332.x Ang, A., Chen, J., 2010. Yield curve predictors of foreign exchange returns. Unpublished working paper. Columbia University and University of California, New York, NY, and Davis, CA. Ang, A., Dong, S., Piazzesi, M., 2005. No-arbitrage Taylor rules. Unpublished working paper. Columbia University. Ang, 2003, A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics, 50, 745, 10.1016/S0304-3932(03)00032-1 Backus, 1993, Long memory inflation uncertainty, Journal of Money, Credit, and Banking, 25, 681, 10.2307/2077735 Backus, 2001, Affine term structure models and the forward premium anomaly, Journal of Finance, 56, 279, 10.1111/0022-1082.00325 Bansal, 2002, Market efficiency, asset returns, and the size of risk premium in global equity markets, Journal of Econometrics, 109, 195, 10.1016/S0304-4076(02)00067-2 Bauer, G.H., de los Rios, A.D., 2012. An international dynamic term structure model with economic restrictions and unspanned risks. Unpublished working paper. Bank of Canada, Ottawa, Ontario, Canada. Bikbov, 2010, No-arbitrage macroeconomic determinants of the yield curve, Journal of Econometrics, 159, 166, 10.1016/j.jeconom.2010.05.004 Blanco, 2005, An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps, Journal of Finance, 60, 2255, 10.1111/j.1540-6261.2005.00798.x Boyer, 2006, How do crises spread? Evidence from accessible and inaccessible stock indices, Journal of Finance, 61, 957, 10.1111/j.1540-6261.2006.00860.x Brandt, 2006, International risk sharing is better than you think, or exchange rates are much too smooth, Journal of Monetary Economics, 53, 671, 10.1016/j.jmoneco.2005.02.004 Campbell, 1991, Yield spreads and interest rate movements: A bird's eye view, Review of Economic Studies, 58, 495, 10.2307/2298008 Canova, 2005, The transmission of US shocks to Latin America, Journal of Applied Econometrics, 20, 229, 10.1002/jae.837 Christiano, L.J., Eichenbaum, M., Evans, C.L., 1999. Monetary policy shocks: what have we learned and to what end? In: Woodford, M., Taylor, J. (Eds.), Handbook of Macroeconomics, vol. 1A. Elsevier Science, North Holland, Amsterdam, New York and Oxford Ciccarelli, 2010, Global inflation, Review of Economics and Statistics, 92, 524, 10.1162/REST_a_00008 Clarida, 1998, Monetary policy rules in practice, European Economic Review, 42, 1033, 10.1016/S0014-2921(98)00016-6 Cochrane, 2005, Bond risk premia, American Economic Review, 95, 138, 10.1257/0002828053828581 Colacito, 2011, Risks for the long run and the real exchange rate, Journal of Political Economy, 119, 153, 10.1086/659238 Dahlquist, M., Hasseltoft, H., 2011. International bond risk premia. Unpublished working paper. Stockholm School of Economics, Stockholm, Sweden. Dai, Q., Philippon, T., 2005. Fiscal policy and the term structure of interest rates. Unpublished working paper. New York University and University of North Carolina, New York, NY, and Chapel Hill, NC. Dai, 2000, Specification analysis of affine term structure models, Journal of Finance, 55, 1943, 10.1111/0022-1082.00278 Dai, 2002, Expectations puzzles, time-varying risk premia, and affine models of the term structure, Journal of Financial Economics, 63, 415, 10.1016/S0304-405X(02)00067-3 Dong, S., 2006. Macro variables do drive exchange rate movements: evidence from a no-arbitrage model. Unpublished working paper. Columbia University, New York, NY. Duffee, 2002, Term premia and interest rate forecasts in affine models, Journal of Finance, 57, 405, 10.1111/1540-6261.00426 Duffee, 2006, Term structure estimation without using latent factors, Journal of Financial Economics, 79, 507, 10.1016/j.jfineco.2005.03.007 Duffie, 1996, Swap rates and credit quality, Journal of Finance, 51, 921, 10.1111/j.1540-6261.1996.tb02712.x Ehrmann, M., Fratzscher, M., 2006. Global financial transmission of monetary policy shocks. Unpublished working paper. European Central Bank, Frankfurt, Germany. Evans, 2007, Economic determinants of the nominal Treasury yield curve, Journal of Monetary Economics, 54, 1986, 10.1016/j.jmoneco.2006.12.015 Fama, 1987, The information in long-maturity forward rates, American Economic Review, 77, 680 Forbes, 2004, The Asian flu and Russian virus, Journal of International Economics, 63, 59, 10.1016/S0022-1996(03)00044-8 Forbes, 2002, No contagion, only interdependence, Journal of Finance, 57, 2223, 10.1111/0022-1082.00494 Gallmeyer, M., Hollifield, B., Palomino, F., Zin, S., 2009. Term premium dynamics and the Taylor rule. Unpublished working paper. Carnegie Mellon University, Pittsburgh, PA. Gallmeyer, 2005, Taylor rules McCallum rules, and the term structure of interest rates, Journal of Monetary Economics, 52, 921, 10.1016/j.jmoneco.2005.07.010 Ghysels, E., Horan, C., Moench, E., 2013. Forecasting through the rearview mirror: data revision and bond return predictability. Unpublished working paper. University of North Carolina, Chapel Hill, NC. Graveline, J.J., Joslin, S., 2010. G10 swap and exchange rates. Unpublished working paper. University of Minnesota, Minneapolis, MN. Grilli, V., Roubini, N., 1995. Liquidity and exchange rates: puzzling evidence from the G-7 countries. Unpublished working paper. Yale University, New Haven, CT. Hamilton, 2012, The effectiveness of alternative monetary policy tools in a zero lower bound environment, Journal of Money, Credit and Banking, 44, 3, 10.1111/j.1538-4616.2011.00477.x Hardouvelis, 1994, The term structure spread and future changes in long and short rates in the G7 countries, Journal of Monetary Economics, 33, 255, 10.1016/0304-3932(94)90003-5 Hu, 2013, Noise as information for illiquidity, Journal of Finance, 68, 2341, 10.1111/jofi.12083 Hull, J., Predescu, M., White, A., 2004. Bond prices, default probabilities, and risk premiums. Unpublished working paper. University of Toronto, Toronto, Ontario, Canada. Inci, 2004, Exchange rates and interest rates, Journal of Economic Dynamics and Control, 28, 1595, 10.1016/S0165-1889(03)00081-2 Johnson, 1993, International interest rate linkages in the term structure, Journal of Money, Credit, and Banking, 25, 755, 10.2307/2077803 Jorion, 1991, A multicountry comparison of term structure forecasts at long horizons, Journal of Financial Economics, 29, 59, 10.1016/0304-405X(91)90013-A Joslin, 2013, Macro-finance term structure models with lags, Journal of Financial Econometrics, 11, 581, 10.1093/jjfinec/nbt012 Joslin, 2013, Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-vars, Journal of Financial Economics, 109, 604, 10.1016/j.jfineco.2013.04.004 Joslin, 2014, Risk premiums in dynamic term structure models with unspanned macro risks, Journal of Finance, 69, 1197, 10.1111/jofi.12131 Joslin, 2010, A new perspective on Gaussian dynamic term structure models, Review of Financial Studies, 24, 926, 10.1093/rfs/hhq128 Jotikasthira, 2012, Asset fire sales and purchases and the international transmission of funding shocks, Journal of Finance, 67, 2015, 10.1111/j.1540-6261.2012.01780.x Kim, 2011, Term structure models and the zero bound, Journal of Econometrics, 170, 32, 10.1016/j.jeconom.2011.12.005 Kim, 2001, International transmission of US monetary policy shocks, Journal of Monetary Economics, 48, 339, 10.1016/S0304-3932(01)00080-0 Kose, 2003, International business cycles, American Economic Review, 93, 1216, 10.1257/000282803769206278 Kuttner, 2001, Monetary policy surprises and interest rates, Journal of Monetary Economics, 47, 523, 10.1016/S0304-3932(01)00055-1 Le, 2010, Discrete-time affineQ term structure models with generalized market prices of risk, Review of Financial Studies, 23, 2184, 10.1093/rfs/hhq007 Litterman, 1991, Common factors affecting bond returns, Journal of Fixed Income, 1, 54, 10.3905/jfi.1991.692347 Litterman, 1991, Volatility and the yield curve, Journal of Fixed Income, 1, 49, 10.3905/jfi.1991.692346 Newey, 1987, A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610 Sarno, 2012, Properties of foreign exchange risk premiums, Journal of Financial Economics, 105, 279, 10.1016/j.jfineco.2012.01.005 Shiller, 1989, Co-movements in stock prices and co-movements in dividends, Journal of Finance, 44, 719, 10.1111/j.1540-6261.1989.tb04387.x Sutton, 2000, Is there excess co-movement of bond yields between countries?, Journal of International Money and Finance, 19, 363, 10.1016/S0261-5606(00)00010-3 Taylor, 1993, Discretion versus policy rules in practice, Carnegie-Rochester Conference Series on Public Policy, 39, 195, 10.1016/0167-2231(93)90009-L Vayanos, D., Vila, J.L., 2009. A preferred-habitat model of the term structure of interest rates. Unpublished working paper. National Bureau of Economic Research, Cambridge, MA. Wachter, 2006, A consumption-based model of the term structure of interest rates, Journal of Financial Economics, 79, 365, 10.1016/j.jfineco.2005.02.004 Wongswan, J., 2006. The response of global equity indexes to US monetary policy announcements. International finance discussion paper. Federal Reserve, Washington, DC. Wright, 2011, Term premia and inflation uncertainty, American Economic Review, 101, 1514, 10.1257/aer.101.4.1514