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The Canadian Macroeconomy And The Yield Curve
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Book Synopsis The Canadian Macroeconomy and the Yield Curve [electronic Resource] : an Equilibrium-based Approach by : Garcia, René
Download or read book The Canadian Macroeconomy and the Yield Curve [electronic Resource] : an Equilibrium-based Approach written by Garcia, René and published by . This book was released on 2005 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Canadian Macroeconomy and the Yield Curve by : René Garcia
Download or read book The Canadian Macroeconomy and the Yield Curve written by René Garcia and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Comparison of Twelve Macroeconomic Models of the Canadian Economy by : Denise Coté
Download or read book A Comparison of Twelve Macroeconomic Models of the Canadian Economy written by Denise Coté and published by . This book was released on 2003 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling and Forecasting Canadian Yield Curve with Macroeconomic Determinants by : Di Huo
Download or read book Modeling and Forecasting Canadian Yield Curve with Macroeconomic Determinants written by Di Huo and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Term structure of interest rates is crucial for pricing bonds and managing financial risks. The yield curve of zero-coupon bonds can typically be used to measure the term structure of interest rates. In this paper, we use the popular Nelson-Siegel three-factor framework to model the entire Canadian yield curve. The empirical results show that the model fits the Canadian yield curve well. We estimate vector autoregressive models for the three factors in order to produce out-of-sample forecasts, and also employ seven natural competitors for comparison. Our forecast results are encouraging. Our model is superior to most competitors, especially at longer horizons. We further incorporate macro variables into the yield-only model. From the results of forecast comparison test between the yield-only model and yield-macro model, we conclude that a joint dynamic term structure model incorporating macro variables contributes to sharpening our ability of forecasting yields accurately out of sample.
Book Synopsis Macroeconomic Policy in the Canadian Economy by : Panos Afxentiou
Download or read book Macroeconomic Policy in the Canadian Economy written by Panos Afxentiou and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomic Policy in the Canadian Economy investigates developments in Canada over the last forty years, using recent advances in the field of applied econometrics. In particular, the book analyzes the theoretical foundations of public sector activities and evaluates the several theories of government growth. Issues of convergence are also investigated as they manifest themselves in per capita income across Canadian provinces, and as to how successful government income equalization policies have been in furthering such convergence. Moreover, the openness of the Canadian economy is investigated in terms of the importance of exports on GDP growth and of its participation in the world of an internationally integrated capital market. The book also analyzes monetary policy issues and investigates the role of monetary aggregates and the effectiveness of monetary policy. Finally, it addresses the issue of the existence or not of electoral and partisan cycles in Canada, by incorporating both fiscal and monetary principles and applying them to the lively world of Canadian politics.
Book Synopsis Macroeconomics and the Canadian Economy by : Paul Arthur Phillips
Download or read book Macroeconomics and the Canadian Economy written by Paul Arthur Phillips and published by Toronto: D.C. Heath Canada, c1973, [1972] printing.. This book was released on 1972 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction to macroeconomics at the first year university level.
Download or read book Economics written by Roy Vogt and published by . This book was released on 1993 with total page 856 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomics written by John A. Sawyer and published by . This book was released on 1975 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Economic Analysis & Canadian Policy by : David Stager
Download or read book Economic Analysis & Canadian Policy written by David Stager and published by Elsevier. This book was released on 2013-09-24 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Analysis & Canadian Policy: Seventh Edition deals with concepts and theories in economics and its relation to Canadian economic policies. The book is divided into two parts. Part I is a general overview of economics and includes topics such as basic economic decisions, economic policies and analysis, supply and demand, market price, and the role of the government in the economy. Part II deals with the Canadian economy - its economic goals, economic growth, and national income; its banking systems; its fiscal policy, public debt, and budget deficit; and international trade policies, patterns, and rationale. Part III covers consumer demand, production costs, supply, market competition, and market structure. Part IV talks about labor market and wages, income distribution in Canada, and regional income disparity. The text is recommended for economists and financial analysts, especially those who would like to study about Canada's economy and its policies.
Book Synopsis Macroeconomics by : Alexander MacMillan
Download or read book Macroeconomics written by Alexander MacMillan and published by Scarborough, Ont. : Prentice-Hall Canada, c1989 [i.e. 1988]. This book was released on 1988 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Yield Curve Modeling and Forecasting by : Francis X. Diebold
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Book Synopsis Macroeconomics by : David C. Colander
Download or read book Macroeconomics written by David C. Colander and published by Irwin Professional Publishing. This book was released on 1996 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomics written by David A. Wilton and published by Don Mills, Ont. : Addison-Wesley Publishers. This book was released on 1987 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomics written by Michael Parkin and published by . This book was released on 2006 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomics written by David Stager and published by . This book was released on 1992 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Yield Curve and Real Activity by : Zuliu Hu
Download or read book The Yield Curve and Real Activity written by Zuliu Hu and published by International Monetary Fund. This book was released on 1993-03 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial press frequently suggest that the shape of yield curve reflects information about the prospects of the economy. This paper attempts to formalize the link between the yield curve and the real economic activity. A closed-form formula for the term structure of interest rates is derived. It is shown that the term structure embodies the market’s expectation about changes in the macroeconomic fundamental--the growth in real aggregate output of the economy. The paper then documents the use of bond market data for predicting GDP growth in the G-7 industrial countries. The results suggest that a simple measure of the slope of the yield curve, namely the yield spread, serves as a good predictor of future economic growth. The out-of-sample forecasting performance of the yield spread compares favorably with that of the alternative stock price-based model and a univariate time series (ARMA) model. One practical implication is that it may be useful to add some measure of the term structure to the list of
Book Synopsis Canadian Macroeconomics, Microeconomics : Problems and Policies. Study Guide and Workbook by : Brian Lyons
Download or read book Canadian Macroeconomics, Microeconomics : Problems and Policies. Study Guide and Workbook written by Brian Lyons and published by Scarborough, Ont. : Prentice-Hall Canada. This book was released on 1983 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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