00000nam 2200000zi 4500 9.902800 CaOODSP 20221107180048 m o d f cr |n||||||||| 210824t20212021oncd ob f|0| 0 eng d CaOODSP eng rda CaOODSP n-cn--- FB3-5/2021-14E-PDF Feunou, Bruno, author. Secular economic changes and bond yields / by Bruno Feunou and Jean-Sébastien Fontaine. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 1 online resource (ii, 62 pages) : charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-14 "Last updated: March 19, 2021." Includes bibliographical references (pages 52-55). "We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do not influence the long-run real rate or output growth. These nominal shocks have loadings that can change over time. The results show that, before the anchoring of inflation around the mid-1990s, nominal shocks lifted the output gap and inflation, leading to higher yields and a steeper yield curve via higher short rate expectations and term premiums. The short rate peaked after several quarters but only after the responses of growth and inflation started to decline. With inflation anchored, however, nominal shocks have a short-lived impact on inflation, an insignificant impact on output and only a small impact on bond yields via the term premium"--Abstract, page ii. Inflation (Finance) Canada Econometric models. Monetary policy Canada Econometric models. Inflation Canada Modèles économétriques. Politique monétaire Canada Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2021-14. (CaOODSP)9.806221 PDF 1.34 MB https://publications.gc.ca/collections/collection_2021/banque-bank-canada/FB3-5-2021-14-eng.pdf