00000nam 2200000zi 4500 9.937208 CaOODSP 20240419142059 m o d f cr |n||||||||| 240419t20242024oncd ob f|0| 0 eng d CaOODSP eng rda CaOODSP n-us--- FB3-5/2024-12E-PDF Xing, Bingxin Ann, author. U.S. macroeconomic news and low-frequency changes in small open economies’ bond yields / by Bingxin Ann Xing, Bruno Feunou, Morvan Nongni-Donfack and Rodrigo Sekkel. [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 1 online resource (ii, 33 pages) : charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-12 "Last updated: April 17, 2024." Includes bibliographical references. "This paper investigates 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 follow two complementary approaches: First, we apply a regression-based framework that aggregates the impact of daily macroeconomic news on bond yields to a lower quarterly frequency. Next, we estimate a macro-finance affine term structure model linking the daily news to lower-frequency changes in bond yields and their expectations and term premia"--Abstract, page ii. Macroeconomics. Bonds Rate of return. Macroéconomie. Obligations (Valeurs) Taux de rendement. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2024-12. (CaOODSP)9.806221 PDF 1.96 MB https://publications.gc.ca/collections/collection_2024/banque-bank-canada/FB3-5-2024-12-eng.pdf