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We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States. Comparing the equilibrium hou[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a si[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed fr[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage deb[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Stil[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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This paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavail[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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We investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United Stat[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived a[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk pr[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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