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This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness model[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities sig[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. The proposed test is shown to have[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast an[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the curre[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated w[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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In this paper, we empirically investigate whether multilateral adjustment to large U.S. external imbalances can help explain movements in the bilateral exchange rates of [...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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The authors provide a detailed empirical analysis of Canadian city housing prices. They examine the long-run relationship between city house prices in Canada from 1981 to[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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