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Exchange risk premiums, real interest rate differentials, and ex ante purchasing power parity
Longworth, David J. - 1986
Persistent link: https://www.econbiz.de/10000868698
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Risk premium shocks and the zero bound on nominal interest rates
Amano, Robert A.; Shukayev, Malik - 2009
. Without denying the possibility of other factors, we find that risk premium shocks are key to building quantitative models … where the zero bound is relevant for monetary policy design. The risk premium mechanism operates by increasing the spread … close to zero as the same risk premium spread mechanism is not at play. -- Monetary policy framework …
Persistent link: https://www.econbiz.de/10003933335
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Bond liquidity premia
Fontaine, Jean-Sébastien; Garcia, René - 2009
intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should …
Persistent link: https://www.econbiz.de/10003933337
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Productivity, the terms of trade and the real exchange rate : the Balassa-Samuelson hypothesis revisited
Choudhri, Ehsan U. - 2009
The paper examines how the Balassa-Samuelson hypothesis is affected by a modern variation of the standard model that allows product differentiation (within the traded and nontraded goods sectors) with the number of firms determined exogenously or endogenously. The hypothesis is found to be...
Persistent link: https://www.econbiz.de/10003933283
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Capital flows, exchange rates and monetary policy frameworks in Latin American and other economies : a report by a group of central banks including members of the Consultative Coun...
Bank für Internationalen Zahlungsausgleich - 2021
In early 2020, the Bank for International Settlements (BIS) Representative Office for the Americas contacted a group of nine central banks that includes the members of the Consultative Council of the Americas (CCA) except the US Federal Reserve (Argentina, Brazil, Canada, Chile, Colombia,...
Persistent link: https://www.econbiz.de/10012517920
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A Wake-Up-Call Theory of Contagion
Ahnert, Toni; Bertsch, Christoph - Bank of Canada - 2015
We propose a novel theory of financial contagion. We study global coordination games of regime change in two regions with an initially uncertain correlation of regional fundamentals. A crisis in region 1 is a wake-up call to investors in region 2 that induces a reassessment of local...
Persistent link: https://www.econbiz.de/10011264834
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The Canadian Dollar and Commodity Prices: Has the Relationship Changed over Time?
Maier, Philipp; DePratto, Brian - Bank of Canada - 2008
The authors examine the impact of the recent run-up in energy and non-energy commodity prices on the Canadian dollar. Using the Bank of Canada's exchange rate equation, they find that the differences between the actual value of the Canadian exchange rate and the simulated values observed in 2007...
Persistent link: https://www.econbiz.de/10005220951
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A Foreign Activity Measure for Predicting Canadian Exports
Morel, Louis - Bank of Canada - 2012
The author constructs a measure of foreign activity that takes into account the composition of foreign demand for Canadian exports. It has a number of interesting features. First, the foreign activity measure captures both the composition of demand in the United States (by including components...
Persistent link: https://www.econbiz.de/10009653925