We propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule that satisfies the Taylor principle. Because arbitr[...]

Replication files for: Dahlhaus, T. and Gambetti L., Noisy Monetary Policy Announcements, Journal of Applied Econometrics. MainProg_JAE.m replicates the analysis in Sect[...]

One of the most important channels through which monetary policy affects the real economy is changes in mortgage rates. This paper studies the effects of mortgage rate ch[...]

We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate that results from free entry into international finance by global fin[...]

The data and programs replicate tables and figures from "Could a higher inflation target enhance macroeconomic stability?", by Dorich, St-Pierre, Lepetyuk and Mendes. Ple[...]

For each component in the diffusion matrix of a d-dimensional diffusion process, we propose a test for the parametric specification of this component. Overall, d(d−1)/2 t[...]

The Federal Reserve target rate has a lower bound. Changes to the target rate occur with discrete increments. Using out-of-sample forecasts of the target rate, we evaluat[...]

This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothe[...]

his paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothes[...]

Using narrative evidence with a novel database of real-time data and forecasts from the Bank of Canada’s staff projections (1974–2015), we construct a new measure of mone[...]