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

Mustapha Olalekan Ojo (), Luís Aguiar-Conraria () and Maria Joana Soares ()
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Mustapha Olalekan Ojo: Economics Department, University of Minho
Maria Joana Soares: NIPE and Department of Mathematics and Applications, University of Minho.

No 12/2017, NIPE Working Papers from NIPE - Universidade do Minho

Abstract: We use wavelet analysis to study the relationship between the yield curve and macro- economic 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.

Keywords: Term structure; Yield curve; Macroeconomic variables; Wavelet Power Spectrum; Wavelet Coherency; Wavelet Phase Difference (search for similar items in EconPapers)
JEL-codes: C32 C49 E43 E44 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: A time–frequency analysis of the Canadian macroeconomy and the yield curve (2020)
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