responses can be contemplated, the question whether asset prices are in fact subject to excess volatility needs to be answered …

that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zoro I(0 …). It has been suggested that this should be interpreted as evidence of the importance of regime- switching in asset prices …

The authors examine the impact of the recent run-up in energy and non-energy commodity prices on the Canadian dollar … changed over time, the authors explore different ways of modelling the impact of energy and non-energy commodity prices. Their …

effect of changes in relative prices. Third, compared with the Bank’s previous U.S. activity index (introduced in the July …

impose restrictions (including global asset pricing, carry trade fundamentals and maximal Sharpe ratios) on the prices of …

When prices are sticky, movements in the nominal exchange rate have a direct impact on international relative prices. A …

relative prices of goods across countries. This paper explores whether the expenditure-switching role of exchange rates has …

Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract … this information, a model is required that relates market prices to the desired information, and that ideally can be … implemented using timely and low-cost methods. The authors explore two models applied to option prices to extract the risk …