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TitleA time-frequency analysis of the Canadian macroeconomy and the yield curve
Author(s)Ojo, Mustapha Olalekan
Aguiar-Conraria, Luís
Soares, M. J.
KeywordsTerm structure
Yield curve
Macroeconomic variables
Wavelet Power Spectrum
Wavelet Coherency
Wavelet Phase Di⁄erence
Issue date2017
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
JournalNIPE Working Paper
CitationOjo, M. O., Aguiar-Conraria, L., & Soares, M. J. (2017). A time-frequency analysis of the Canadian macroeconomy and the yield curve (No. 12/2017). NIPE-Universidade do Minho
Abstract(s)We use wavelet analysis to study the relationship between the yield curve and macroeconomic indicators in Canada. We rely on the Nelson-Siegel approach to model the zero coupon yield curve, and use the Kalman lter to estimate its time-varying factors: the level, the slope and the curvature. Apart from the bidirectional yield-macro relation, the paper broadens the existing literature by exploring the link between the monetary policy and the yield curve.
TypeWorking paper
Publisher version
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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