00000nam 2200000zi 4500 9.886408 CaOODSP 20221107171417 m o d f cr |n||||||||| 200427t20202020oncd ob f000 0 eng d CaOODSP eng rda CaOODSP n-cn--- FB3-5/2020-14E-PDF Zhao, Guihai, author. Learning, equilibrium trend, cycle, and spread in bond yields / by Guihai Zhao. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 1 online resource (ii, 58 pages) : colour charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-14 Cover title. Includes bibliographical references. "Some key features in the historical dynamics of U.S. Treasury bond yields—a trend in long-term yields, business cycle movements in short-term yields, and a level shift in yield spreads—pose serious challenges to existing equilibrium asset pricing models. This paper presents a new equilibrium model to jointly explain these key features. The trend is generated by learning from the stable components in GDP growth and inflation, which share similar patterns to the neutral rate of interest (R-star) and trend inflation (Pi-star) estimates in the literature. Cyclical movements in yields and spreads are mainly driven by learning from the transitory components in GDP growth and inflation. The less-frequent inverted yield curves observed after the 1990s are due to the recent secular stagnation and procyclical inflation expectation"--Abstract. Government securities Econometric models. Bonds Rate of return Econometric models. Interest rates Econometric models. Effets publics Modèles économétriques. Obligations (Valeurs) Taux de rendement Modèles économétriques. Taux d'intérêt Modèles économétriques. Bank of Canada. Staff working paper (Bank of Canada) 2020-14. (CaOODSP)9.806221 PDF 1.46 MB https://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-14-eng.pdf