Economics at your fingertips  

A Keynesian analysis of Canadian government securities yields

Anupam Das () and Tanweer Akram ()
Additional contact information
Anupam Das: Mount Royal University
Tanweer Akram: General Motors

PSL Quarterly Review, 2020, vol. 73, issue 294, 241-260

Abstract: Keynes argued that the short-term interest rate is the main driver of the long-term interest rate on government bonds. This paper empirically models the relationship between the short-term interest rate 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 to examine the behavioral dynamics of the long-term interest rate. The empirical results show that the actions of the Bank of Canada are key drivers of Canadian government securities yields in the long run, which supports the Keynesian perspective. There is a positive association between long-term bond yields and the Canadian federal governmentÕs net debt to GDP ratio, but the effect is fairly modest. An important implication of these findings is that the Bank of CanadaÕs actions can have a decisive effect on the long-term interest rate over the long horizon.

Keywords: Canadian government bond yields; long-term interest rate; short-term interest rate. (search for similar items in EconPapers)
JEL-codes: E43 E50 E60 G10 G12 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) (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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

PSL Quarterly Review is currently edited by Alessandro Roncaglia and Carlo D'Ippoliti

More articles in PSL Quarterly Review from Economia civile
Bibliographic data for series maintained by Carlo D'Ippoliti ().

Page updated 2021-10-23
Handle: RePEc:psl:pslqrr:2020:33