Measuring Interest Rate Expectations in Canada

Grahame Johnson
Financial market expectations regarding future policy actions by the Bank of Canada are an important input into the Bank's decision-making process, and they can be measured using a variety of sources. The author develops a simple expectations-based model to focus on measuring interest rate expectations that are implied by the current level of money market yields. The explanatory power of this model increases markedly in the period following the implementation of the Bank's regime of...
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