The Empirics of Canadian Government Securities Yields

Tanweer Akram and Anupam Das

Economics Working Paper Archive from Levy Economics Institute

Abstract: Keynes argued that the short-term interest rate is the main driver of the long-term interest rate. This paper empirically models the relationship between short-term interest rates and long-term government securities yields in Canada, after controlling for other important financial variables. The statistical analysis uses high-frequency daily data from 1990 to 2018. It applies both the cointegration technique and Granger causality within the vector error correction (VEC) framework. The empirical results suggest that the action of the monetary authority is an important determinant of Canadian government securities yields, which supports the Keynesian perspective. These findings have important implications for investors, financial analysts, and policymakers.

Keywords: Canadian Government Bond Yields; Long-Term Interest Rate; Short-Term Interest Rate; Monetary Policy; Cointegration; Granger Causality (search for similar items in EconPapers)
JEL-codes: E43 E50 E60 G10 G12 (search for similar items in EconPapers)
Date: 2020-01
New Economics Papers: this item is included in nep-ets, nep-mac and nep-pke
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.levyinstitute.org/pubs/wp_944.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lev:wrkpap:wp_944

Access Statistics for this paper

More papers in Economics Working Paper Archive from Levy Economics Institute
Bibliographic data for series maintained by Elizabeth Dunn ( this e-mail address is bad, please contact ).