A time-frequency analysis of the Canadian macroeconomy and the yield curve

Authors :: Ojo, Mustapha Olalekan
Aguiar-Conraria, Luís
Soares, M. J.
Universidade do Minho
Publication Year :: 2017
Publisher :: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE), 2017.
Abstract: 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.<br />COMPETE 2020, Portugal 2020, FEDER, FCT<br />info:eu-repo/semantics/publishedVersion