Loading...
Please wait, while we are loading the content...
Similar Documents
The Empirics of Canadian Government Securities Yields
| Content Provider | Scilit |
|---|---|
| Author | Akram, Tanweer Das, Anupam |
| Copyright Year | 2020 |
| Description | Journal: SSRN Electronic Journal Keynes argued that the short-term interest rate is the main driver of the long-term interest rate.This paper empirically models the relationship between short-term interest rates and long-termgovernment securities yields in Canada, after controlling for other important financial variables.The statistical analysis uses high-frequency daily data from 1990 to 2018. It applies both thecointegration technique and Granger causality within the vector error correction (VEC)framework. The empirical results suggest that the action of the monetary authority is animportant determinant of Canadian government securities yields, which supports the Keynesianperspective. These findings have important implications for investors, financial analysts, andpolicymakers. |
| Related Links | http://www.levyinstitute.org/pubs/wp_944.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3520906 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3520906 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2020-01-16 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Development Studies Canadian Government Bond Yields Long-term Interest Rate Short-term Interest Rate Granger Causality |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
