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Don't you need to know the exchange-rate futures to do this comparison?

I suppose - but then again, I don't think any forex model will be better than a random walk, so I'm guessing it'll be a wash.

I'm not so sure that one expect any large differences between the US and Canadian yield curves, at least at longer maturities. The economies and financial markets of the two countries are very much entwined. Gov't debt in the two countries is quite similar. If there was ever a large difference in the yields at longer maturities, it would offer a very low risk arbitrage opportunity. For instance, if the 10 year yields became separated by more than 1%, then arbitrageurs would step in and buy the higher yield debt and sell the lower yielding debt at very low risk.

The main risk is the US gov't yields going up. But if that were to happen, the effects would not be confined to the US, and Canadian yields would be amongst the first to rise as well.

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