دانلود مقاله ISI انگلیسی شماره 44762
عنوان فارسی مقاله

اقتصاد کلان کوچک باز و منحنی بازده: نمایندگی فضای حالت

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
44762 2014 21 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The small open macroeconomy and the yield curve: A state-space representation
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : The North American Journal of Economics and Finance, Volume 29, July 2014, Pages 1–21

کلمات کلیدی
عملکرد منحنی - اقتصاد باز کوچک - مدل عامل - مدل فضای حالت
پیش نمایش مقاله
پیش نمایش مقاله اقتصاد کلان کوچک باز و منحنی بازده: نمایندگی فضای حالت

چکیده انگلیسی

This study extends a state-space representation of the yield curve and the macroeconomy to a small open economy in order to study the dynamic interaction between the yield curves in Canada and the U.S. The framework treats the U.S. term structure of interest rates as being exogenous to both the Canadian yield curve and macroeconomy. The empirical results support very strong links between the yield curves in the two countries, with the U.S. yield curve accounting for as much as 45 per cent of the variation of the movement in the level and about 30 per cent of the movements in the slope and the curvature of the Canadian yield curve. Canadian yield-curve factors are found to account for about 50 per cent of the variation in output and the monetary policy rate, and about 25 per cent of the variation in inflation, much larger than the yield curve effects found for future developments of the macroeconomies of other countries. A relatively strong bilateral relationship is found to exist between the yield curve and the instrument of monetary policy, supporting recent studies that find the dynamic relationship between the yield curve and the macroeconomy is due to the pivotal role that monetary policy plays in the macroeconomy.

خرید مقاله
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