Table 14
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Decomposition of one-day responses of Canadian 10-year nominal yield to U.K. QE announcements

EventAvg. short rate next 10 yearsTen-year term premiumResidualTen-year yield
Feb. 10, 200922305−2325
IFeb. 11, 200922303−4321
Change0−2−2−4
Mar. 4, 200921292−1312
IIMar. 5, 200920289−6303
Change−1−3−5−10
May 6, 200925307−7325
IIIMay 7, 200926309−2333
Change1258
Aug. 5, 200969308−1376
IVAug. 6, 200970306−4372
Change0−2−2−4
Nov. 4, 200959311−1368
VNov. 5, 2009593131373
Change1225
Feb. 3, 2010692953367
VIFeb. 4, 201070293−2361
Change0−2−4−6
Oct. 5, 2011163601225
VIIOct. 6, 2011163655234
Change1449
Total net change20−4−2
EventAvg. short rate next 10 yearsTen-year term premiumResidualTen-year yield
Feb. 10, 200922305−2325
IFeb. 11, 200922303−4321
Change0−2−2−4
Mar. 4, 200921292−1312
IIMar. 5, 200920289−6303
Change−1−3−5−10
May 6, 200925307−7325
IIIMay 7, 200926309−2333
Change1258
Aug. 5, 200969308−1376
IVAug. 6, 200970306−4372
Change0−2−2−4
Nov. 4, 200959311−1368
VNov. 5, 2009593131373
Change1225
Feb. 3, 2010692953367
VIFeb. 4, 201070293−2361
Change0−2−4−6
Oct. 5, 2011163601225
VIIOct. 6, 2011163655234
Change1449
Total net change20−4−2

Notes: The decomposition of one-day responses of the Canadian 10-year nominal government bond yield on seven U.K. QE announcement dates into changes in (i) the average expected nominal short rate over the next 10 years, (ii) the 10-year nominal term premium, and (iii) the unexplained residual 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.

Table 14
Open in new tab

Decomposition of one-day responses of Canadian 10-year nominal yield to U.K. QE announcements

EventAvg. short rate next 10 yearsTen-year term premiumResidualTen-year yield
Feb. 10, 200922305−2325
IFeb. 11, 200922303−4321
Change0−2−2−4
Mar. 4, 200921292−1312
IIMar. 5, 200920289−6303
Change−1−3−5−10
May 6, 200925307−7325
IIIMay 7, 200926309−2333
Change1258
Aug. 5, 200969308−1376
IVAug. 6, 200970306−4372
Change0−2−2−4
Nov. 4, 200959311−1368
VNov. 5, 2009593131373
Change1225
Feb. 3, 2010692953367
VIFeb. 4, 201070293−2361
Change0−2−4−6
Oct. 5, 2011163601225
VIIOct. 6, 2011163655234
Change1449
Total net change20−4−2
EventAvg. short rate next 10 yearsTen-year term premiumResidualTen-year yield
Feb. 10, 200922305−2325
IFeb. 11, 200922303−4321
Change0−2−2−4
Mar. 4, 200921292−1312
IIMar. 5, 200920289−6303
Change−1−3−5−10
May 6, 200925307−7325
IIIMay 7, 200926309−2333
Change1258
Aug. 5, 200969308−1376
IVAug. 6, 200970306−4372
Change0−2−2−4
Nov. 4, 200959311−1368
VNov. 5, 2009593131373
Change1225
Feb. 3, 2010692953367
VIFeb. 4, 201070293−2361
Change0−2−4−6
Oct. 5, 2011163601225
VIIOct. 6, 2011163655234
Change1449
Total net change20−4−2

Notes: The decomposition of one-day responses of the Canadian 10-year nominal government bond yield on seven U.K. QE announcement dates into changes in (i) the average expected nominal short rate over the next 10 years, (ii) the 10-year nominal term premium, and (iii) the unexplained residual 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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