Secular economic changes and bond yields / by Bruno Feunou and Jean-Sébastien Fontaine.: FB3-5/2021-14E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.902800&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Secular economic changes and bond yields / by Bruno Feunou and Jean-Sébastien Fontaine. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-14 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "Last updated: March 19, 2021." Includes bibliographical references (pages 52-55). |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 |
| Author / Contributor | Feunou, Bruno, author. |
| Description | 1 online resource (ii, 62 pages) : charts. |
| Catalogue number |
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| Subject terms | Inflation (Finance) -- Canada -- Econometric models. Monetary policy -- Canada -- Econometric models. Inflation -- Canada -- Modèles économétriques. Politique monétaire -- Canada -- Modèles économétriques. |