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

• Author(s): Ojo, Mustapha Olalekan ; Aguiar-Conraria, Luís ; Soares, M. J.
• Date: 2017
• Persistent ID: https://hdl.handle.net/1822/49403
• Origin: RepositóriUM - Universidade do Minho
• Subject(s): Term structure; Yield curve; Macroeconomic variables; Wavelet Power Spectrum; Wavelet Coherency; Wavelet Phase Di⁄erence
• Document Type: Working paper
• Language: English
• Contributor(s): Universidade do Minho

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.