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1.
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Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dim[...]
2001 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrag[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression desc[...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts. The results show that the most effective h[...]
1997 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-manage[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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This paper documents a link between the real and financial sides of the economy. We find that retail equity mutual fund flows in Canada are negatively related to current [...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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Since the early 1980s, long-term government bond yields in the euro zone have declined, in line with those in other industrialized countries. In this paper, the authors e[...]
2004 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante r[...]
1996 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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In this paper, the author uses the term structure of nominal interest rates to construct estimates of agents' expectations of inflation over several medium-term forecast [...]
1995 | Text | Staff Working Paper - Document de travail du personnel |
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