We show how Canadian interest rates, the CAD/USD spot exchange rate, and stock market returns react to both U.S. and domestic macro announcements using almost two decades[...]

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[...]

We develop a daily composite index of financial stress for the United Kingdom over 50 years, the UKFSI. The index includes market stress indicators based on their increme[...]

We study the joint evolution of foreign exchange (FX) spot and swap market liquidity. We find strong co-movement in spot and swap market liquidity conditions and a robust[...]

We estimate an endowment-based asset pricing model in which agents have heterogeneous and time-varying beliefs about the future price on a range of asset classes. This gi[...]

China’s large financial system is relatively closed, raising concerns that liberalization of China’s capital account could have disruptive effects on the global financial[...]

We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decr[...]

Interconnectedness among insurers and reinsurers at a global level is not well understood and may pose a significant risk to the sector, with implications for the macroec[...]

The end result of major sporting events has been shown to affect next day stock returns through shifts in investor mood. By studying intraday data during the soccer match[...]

This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness model[...]