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

Ver registo simples
dc.contributor.authorOjo, Mustapha Olalekanpor
dc.contributor.authorAguiar-Conraria, Luíspor
dc.contributor.authorSoares, M. J.por
dc.date.accessioned2018-01-17T17:19:03Z
dc.date.available2018-01-17T17:19:03Z
dc.date.issued2017
dc.description.abstractWe 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.por
dc.description.publicationversioninfo:eu-repo/semantics/publishedVersionpor
dc.description.sponsorshipCOMPETE 2020, Portugal 2020, FEDER, FCTpor
dc.distributioninternationalpor
dc.identifier.citationOjo, 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 Minhopor
dc.identifier.urihttps://hdl.handle.net/1822/49403
dc.language.isoengpor
dc.publisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)por
dc.relationinfo:eu-repo/grantAgreement/FCT/5876/147291/PTpor
dc.relation.publisherversionhttp://www.nipe.eeg.uminho.pt/Uploads/WP_2017/NIPE%20WP_12_2017.pdfpor
dc.rightsopenAccesspor
dc.subjectTerm structurepor
dc.subjectYield curvepor
dc.subjectMacroeconomic variablespor
dc.subjectWavelet Power Spectrumpor
dc.subjectWavelet Coherencypor
dc.subjectWavelet Phase Di⁄erencepor
dc.subject.fosCiências Sociais::Economia e Gestãopor
dc.titleA time-frequency analysis of the Canadian macroeconomy and the yield curvepor
dc.typeworkingPaperpor
dspace.entity.typePublicationen
oaire.citationConferencePlaceBraga, Portugalpor
oaire.citationVolume12por

Ficheiros

Pacote original

A mostrar 1 - 1 de 1
Nome:
NIPE WP_12_2017.pdf
Tamanho:
3.52 MB
Formato:
Adobe Portable Document Format
Descarregar

Coleções

NIPE - Documentos de trabalho | Working papers