The yield curve shifted, then tilted

September 7, 2006 · by · in Canadian economy, Macro

There seems to be little doubt that beliefs about a US slowdown were sharply revised over the summer. Here are the US and Canadian yield curves for March, June and September:

Yields0906

And here are the interest rate differentials:

Parities0906

Perhaps the CAD hasn’t yet finished appreciating against the USD.