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Accounting for Changes in Long-Term Interest Rates: Evidence from Canada

Jens H. E. Christensen et al.

Journal of Financial Econometrics2025https://doi.org/10.1093/jjfinec/nbaf006article
AJG 3ABDC A*
Weight
0.37

Abstract

We provide a novel perspective on changes in global long-term interest rates using a dynamic term structure model of Canadian nominal and real yields with adjustments for term, liquidity, and inflation risk premiums. For the period from 1996 to 2021, we find that the steady-state or equilibrium short-term real interest rate fell by more than 4 percentage points, long-term inflation expectations edged down modestly, and real bond and inflation risk premiums varied with little longer-run trend. In contrast, our yield decomposition attributes the post-pandemic rise in interest rates largely to a sharp reversal and increase in the equilibrium real rate.

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https://doi.org/https://doi.org/10.1093/jjfinec/nbaf006

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@article{jens2025,
  title        = {{Accounting for Changes in Long-Term Interest Rates: Evidence from Canada}},
  author       = {Jens H. E. Christensen et al.},
  journal      = {Journal of Financial Econometrics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1093/jjfinec/nbaf006},
}

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Accounting for Changes in Long-Term Interest Rates: Evidence from Canada

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.