Table 13 Open in new tab Decomposition...

Event		Ten-year exp. inflation	Ten-year IRP	neg. RRB liq. premium	Ten-year BEI
	Nov. 24, 2008	162	7	−44	125
I	Nov. 26, 2008	160	2	−48	114
	Change	−2	−5	−4	−11
	Nov. 28, 2008	159	0	−50	108
II	Dec. 2, 2008	156	−3	−53	100
	Change	−3	−3	−3	−8
	Dec. 15, 2008	152	9	−56	105
III	Dec. 17, 2008	149	19	−61	107
	Change	−2	9	−5	2
	Jan. 27, 2009	148	31	−62	117
IV	Jan. 29, 2009	150	33	−60	123
	Change	1	2	2	6
	Mar. 17, 2009	147	44	−61	129
V	Mar. 19, 2009	145	54	−64	135
	Change	−1	10	−3	6
	Aug. 11, 2009	163	83	−27	219
VI	Aug. 13, 2009	163	82	−27	218
	Change	0	0	0	0
	Sep. 22, 2009	160	77	−26	211
VII	Sep. 24, 2009	160	78	−27	211
	Change	0	2	−1	1
	Nov. 3, 2009	158	95	−23	229
VIII	Nov. 5, 2009	158	90	−22	226
	Change	1	−5	2	−3
Total net change		−6	10	−12	−9

Event		Ten-year exp. inflation	Ten-year IRP	neg. RRB liq. premium	Ten-year BEI
	Nov. 24, 2008	162	7	−44	125
I	Nov. 26, 2008	160	2	−48	114
	Change	−2	−5	−4	−11
	Nov. 28, 2008	159	0	−50	108
II	Dec. 2, 2008	156	−3	−53	100
	Change	−3	−3	−3	−8
	Dec. 15, 2008	152	9	−56	105
III	Dec. 17, 2008	149	19	−61	107
	Change	−2	9	−5	2
	Jan. 27, 2009	148	31	−62	117
IV	Jan. 29, 2009	150	33	−60	123
	Change	1	2	2	6
	Mar. 17, 2009	147	44	−61	129
V	Mar. 19, 2009	145	54	−64	135
	Change	−1	10	−3	6
	Aug. 11, 2009	163	83	−27	219
VI	Aug. 13, 2009	163	82	−27	218
	Change	0	0	0	0
	Sep. 22, 2009	160	77	−26	211
VII	Sep. 24, 2009	160	78	−27	211
	Change	0	2	−1	1
	Nov. 3, 2009	158	95	−23	229
VIII	Nov. 5, 2009	158	90	−22	226
	Change	1	−5	2	−3
Total net change		−6	10	−12	−9

Table 13

Decomposition of two-day responses of Canadian 10-year BEI to U.S. QE announcements

Event		Ten-year exp. inflation	Ten-year IRP	neg. RRB liq. premium	Ten-year BEI
	Nov. 24, 2008	162	7	−44	125
I	Nov. 26, 2008	160	2	−48	114
	Change	−2	−5	−4	−11
	Nov. 28, 2008	159	0	−50	108
II	Dec. 2, 2008	156	−3	−53	100
	Change	−3	−3	−3	−8
	Dec. 15, 2008	152	9	−56	105
III	Dec. 17, 2008	149	19	−61	107
	Change	−2	9	−5	2
	Jan. 27, 2009	148	31	−62	117
IV	Jan. 29, 2009	150	33	−60	123
	Change	1	2	2	6
	Mar. 17, 2009	147	44	−61	129
V	Mar. 19, 2009	145	54	−64	135
	Change	−1	10	−3	6
	Aug. 11, 2009	163	83	−27	219
VI	Aug. 13, 2009	163	82	−27	218
	Change	0	0	0	0
	Sep. 22, 2009	160	77	−26	211
VII	Sep. 24, 2009	160	78	−27	211
	Change	0	2	−1	1
	Nov. 3, 2009	158	95	−23	229
VIII	Nov. 5, 2009	158	90	−22	226
	Change	1	−5	2	−3
Total net change		−6	10	−12	−9

Event		Ten-year exp. inflation	Ten-year IRP	neg. RRB liq. premium	Ten-year BEI
	Nov. 24, 2008	162	7	−44	125
I	Nov. 26, 2008	160	2	−48	114
	Change	−2	−5	−4	−11
	Nov. 28, 2008	159	0	−50	108
II	Dec. 2, 2008	156	−3	−53	100
	Change	−3	−3	−3	−8
	Dec. 15, 2008	152	9	−56	105
III	Dec. 17, 2008	149	19	−61	107
	Change	−2	9	−5	2
	Jan. 27, 2009	148	31	−62	117
IV	Jan. 29, 2009	150	33	−60	123
	Change	1	2	2	6
	Mar. 17, 2009	147	44	−61	129
V	Mar. 19, 2009	145	54	−64	135
	Change	−1	10	−3	6
	Aug. 11, 2009	163	83	−27	219
VI	Aug. 13, 2009	163	82	−27	218
	Change	0	0	0	0
	Sep. 22, 2009	160	77	−26	211
VII	Sep. 24, 2009	160	78	−27	211
	Change	0	2	−1	1
	Nov. 3, 2009	158	95	−23	229
VIII	Nov. 5, 2009	158	90	−22	226
	Change	1	−5	2	−3
Total net change		−6	10	−12	−9

Notes: The decomposition of one-day responses of the Canadian 10-year BEI rate on eight U.S. QE announcement dates into changes in (i) the average expected inflation over the next 10 years, (ii) the 10-year inflation risk premium, and (iii) the negative of the RRB liquidity premium based on the preferred CLR-L model estimated with daily data. All numbers are measured in basis points and the daily changes are shown in bold.

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