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

Detalhes bibliográficos
Autor(a) principal: Ojo, Mustapha Olalekan
Data de Publicação: 2017
Outros Autores: Aguiar-Conraria, Luís, Soares, M. J.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/1822/49403
Resumo: 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.
id RCAP_6c284ce9fa85818895e402da6f7503c2
oai_identifier_str oai:repositorium.sdum.uminho.pt:1822/49403
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling A time-frequency analysis of the Canadian macroeconomy and the yield curveTerm structureYield curveMacroeconomic variablesWavelet Power SpectrumWavelet CoherencyWavelet Phase Di⁄erenceCiências Sociais::Economia e GestãoWe 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.COMPETE 2020, Portugal 2020, FEDER, FCTinfo:eu-repo/semantics/publishedVersionUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoOjo, Mustapha OlalekanAguiar-Conraria, LuísSoares, M. J.20172017-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/49403engOjo, 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 Minhohttp://www.nipe.eeg.uminho.pt/Uploads/WP_2017/NIPE%20WP_12_2017.pdfinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:28:42Zoai:repositorium.sdum.uminho.pt:1822/49403Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:23:34.081457Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A time-frequency analysis of the Canadian macroeconomy and the yield curve
title A time-frequency analysis of the Canadian macroeconomy and the yield curve
spellingShingle A time-frequency analysis of the Canadian macroeconomy and the yield curve
Ojo, Mustapha Olalekan
Term structure
Yield curve
Macroeconomic variables
Wavelet Power Spectrum
Wavelet Coherency
Wavelet Phase Di⁄erence
Ciências Sociais::Economia e Gestão
title_short A time-frequency analysis of the Canadian macroeconomy and the yield curve
title_full A time-frequency analysis of the Canadian macroeconomy and the yield curve
title_fullStr A time-frequency analysis of the Canadian macroeconomy and the yield curve
title_full_unstemmed A time-frequency analysis of the Canadian macroeconomy and the yield curve
title_sort A time-frequency analysis of the Canadian macroeconomy and the yield curve
author Ojo, Mustapha Olalekan
author_facet Ojo, Mustapha Olalekan
Aguiar-Conraria, Luís
Soares, M. J.
author_role author
author2 Aguiar-Conraria, Luís
Soares, M. J.
author2_role author
author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Ojo, Mustapha Olalekan
Aguiar-Conraria, Luís
Soares, M. J.
dc.subject.por.fl_str_mv Term structure
Yield curve
Macroeconomic variables
Wavelet Power Spectrum
Wavelet Coherency
Wavelet Phase Di⁄erence
Ciências Sociais::Economia e Gestão
topic Term structure
Yield curve
Macroeconomic variables
Wavelet Power Spectrum
Wavelet Coherency
Wavelet Phase Di⁄erence
Ciências Sociais::Economia e Gestão
description 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.
publishDate 2017
dc.date.none.fl_str_mv 2017
2017-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/49403
url https://hdl.handle.net/1822/49403
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 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
http://www.nipe.eeg.uminho.pt/Uploads/WP_2017/NIPE%20WP_12_2017.pdf
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799132711626997760

Registros relacionados