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首页> 外文期刊>The North American journal of economics and finance >The small open macroeconomy and the yield curve: A state-space representation
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The small open macroeconomy and the yield curve: A state-space representation

机译：小开放宏观经济和收益​​率曲线：状态空间表示

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摘要

This study extends a state-space representation of the yield curve and the macroeconomy to a small open economy in order to study the dynamic interaction between the yield curves in Canada and the U.S. The framework treats the U.S. term structure of interest rates as being exogenous to both the Canadian yield curve and macroeconomy. The empirical results support very strong links between the yield curves in the two countries, with the U.S. yield curve accounting for as much as 45 per cent of the variation of the movement in the level and about 30 per cent of the movements in the slope and the curvature of the Canadian yield curve. Canadian yield-curve factors are found to account for about 50 per cent of the variation in output and the monetary policy rate, and about 25 per cent of the variation in inflation, much larger than the yield curve effects found for future developments of the macroeconomics of other countries. A relatively strong bilateral relationship is found to exist between the yield curve and the instrument of monetary policy, supporting recent studies that find the dynamic relationship between the yield curve and the macroeconomy is due to the pivotal role that monetary policy plays in the macroeconomy.
机译：本研究将收益率曲线和宏观经济的状态空间表示扩展到一个小型开放经济体，以研究加拿大和美国的收益率曲线之间的动态相互作用。该框架将美国利率的期限结构视为对利率的外生因素。加拿大的收益率曲线和宏观经济。实证结果支持两国之间的收益率曲线之间非常紧密的联系，美国收益率曲线占水平变化幅度的45％，占坡度和波动幅度变化的30％。加拿大收益率曲线的曲率。发现加拿大的收益率曲线因素约占产出和货币政策变化率的50％，约占通货膨胀率变化的25％，远大于宏观经济未来发展的收益率曲线效应其他国家。发现收益率曲线与货币政策工具之间存在相对较强的双边关系，支持最近的研究发现收益率曲线与宏观经济之间的动态关系是由于货币政策在宏观经济中发挥了关键作用。

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