E47 - Forecasting and Simulation: Models and Applications
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U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields
Using two complementary approaches, we investigate 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 find that U.S. macroeconomic news is particularly important to explain changes in the expectation components of the nominal, real and break-even inflation rates of small open economies. -
Modelling Canadian mortgage debt and payments in a semi-structural model
We show how Canadian mortgage debt dynamics can be modelled in a semi-structural macroeconomic model, such as the Bank of Canada’s LENS. The model we propose accounts for Canada’s unique mortgage debt structure.