Predicting the Canadian Yield Curve Using Machine Learning Techniques
Bibliographic record
Abstract
This study applies machine learning methods to predict the Canadian yield curve using a comprehensive set of macroeconomic variables. Lagged values of the yield curve and a wide array of Canadian and international macroeconomic variables are utilized across various machine learning models. Hyperparameters are estimated to minimize mispricing across government bonds with different maturities. The Group Lasso algorithm outperforms the other models studied, followed by Lasso. In addition, the majority of the models outperform the Random Walk benchmark. The feature importance analysis reveals that oil prices, bond-related factors, labor market conditions, banks’ balance sheets, and manufacturing-related factors significantly drive yield curve predictions. This study is one of the few that uses such a broad array of macroeconomic variables to examine Canadian macro-level outcomes. It provides valuable insights for policymakers and market participants, with its feature importance analysis highlighting key drivers of the yield curve.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.004 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.001 |
| Bibliometrics | 0.002 | 0.003 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".