U.S. macroeconomic news and low-frequency changes in small open economies’ bond yields / by Bingxin Ann Xing, Bruno Feunou, Morvan Nongni-Donfack and Rodrigo Sekkel.: FB3-5/2024-12E-PDF
"This paper investigates the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We follow two complementary approaches: First, we apply a regression-based framework that aggregates the impact of daily macroeconomic news on bond yields to a lower quarterly frequency. Next, we estimate a macro-finance affine term structure model linking the daily news to lower-frequency changes in bond yields and their expectations and term premia"--Abstract, page ii.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.937208&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | U.S. macroeconomic news and low-frequency changes in small open economies’ bond yields / by Bingxin Ann Xing, Bruno Feunou, Morvan Nongni-Donfack and Rodrigo Sekkel. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-12 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "Last updated: April 17, 2024." Includes bibliographical references. |
| Publishing information | [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 |
| Author / Contributor | Xing, Bingxin Ann, author. |
| Description | 1 online resource (ii, 33 pages) : charts. |
| Catalogue number |
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| Subject terms | Macroeconomics. Bonds -- Rate of return. Macroéconomie. Obligations (Valeurs) -- Taux de rendement. |