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Co-movement of yield curves and international macroeconomic variables: a wavele...
Ojo, Mustapha OlalekanEsta tese recorre à análise de wavelets para explorar a estrutura de prazo das taxas de juro. A tese sublinha as vantagens das wavelets e argumenta que o seu uso para estudar interações económicas complexas e séries não-estacionárias é muito vantajoso. Adicionalmente, justifica também o recurso à transformada contínua da wavelet. A tese recorre a diversos instrumentos associados à transformada contínua da wavel...
A time–frequency analysis of the Canadian macroeconomy and the yield curve
Ojo, Mustapha Olalekan; Aguiar-Conraria, Luís; Soares, M. J.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 filter to estimate its time-varying factors: the level, the slope and the curvature. Apart from establishing a bidirectional yield–macro relation, the paper broadens the existing literature by exploring the...
A time-frequency analysis of the Canadian macroeconomy and the yield curve
Ojo, Mustapha Olalekan; Aguiar-Conraria, Luís; Soares, M. J.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 betwee...