1.
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This article analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open econo[...]
2018 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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2.
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We evaluate three alternative predictors of house price corrections: anticipated tightenings of monetary policy, deviations of house prices from fundamentals, and rapid c[...]
2017 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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3.
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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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4.
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We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility an[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions are that (i) both the foreign and domestic investor p[...]
2004 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. Those studies, however, do not accou[...]
2004 | Text | Staff Working Paper - Document de travail du personnel |
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