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https://hdl.handle.net/1822/49403| Title: | A time-frequency analysis of the Canadian macroeconomy and the yield curve |
| Author(s): | Ojo, Mustapha Olalekan Aguiar-Conraria, Luís Soares, M. J. |
| Keywords: | Term structure Yield curve Macroeconomic variables Wavelet Power Spectrum Wavelet Coherency Wavelet Phase Di⁄erence |
| Issue date: | 2017 |
| Publisher: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
| Citation: | Ojo, 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. |
| Type: | Working paper |
| URI: | https://hdl.handle.net/1822/49403 |
| Publisher version: | http://www.nipe.eeg.uminho.pt/Uploads/WP_2017/NIPE%20WP_12_2017.pdf |
| Access: | Open access |
| Appears in Collections: | NIPE - Documentos de Trabalho |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| NIPE WP_12_2017.pdf | 3,6 MB | Adobe PDF | View/Open |
