1.
This paper proposes inference strategies for conditional and unconditional asset pricing models, which cover beta pricing, the zero-beta rate, risk prices, Jensen's alpha[...]
2023 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
2.
We propose exact exogeneity tests and weak-instruments-robust tests on factor loadings for a system of regressions with possibly non-Gaussian disturbances. Our methodolog[...]
2022 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
3.
We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverti[...]
2012 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
4.
Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized struct[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
5.
Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
6.
Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the context of New Keynesian Phillips Curves. Using two re[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
7.
The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through. They d[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
8.
Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forec[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
9.
The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation. They focus on Galí and Gertler's (1999) [...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
10.
The authors test the statistical significance of Pindyck's (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. The mo[...]
2004 | Text | Staff Working Paper - Document de travail du personnel |