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Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?

Maier, Philipp; Vasishtha, Garima - Bank of Canada - 2008

have benefited considerably from better macroeconomic policies, including lower inflation and lower debt. Therefore, a …

Persistent link: https://www.econbiz.de/10005536848

Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets

Fung, Ben; Mitnick, Scott; Remolona, Eli - Bank of Canada - 1999

Theory and empirical evidence suggest that the term structure of interest rates reflects risk premiums as well as … market expectations about future inflation and real interest rates. We propose an approach to extracting such premiums and … inflation expectations for the two countries. To estimate the model, we apply a Kalman filter to monthly data on zero …

Persistent link: https://www.econbiz.de/10005808326

McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates

Rios, Antonio Diez de los - Bank of Canada - 2008

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to...

Persistent link: https://www.econbiz.de/10005808355

Can Affine Term Structure Models Help Us Predict Exchange Rates?

Rios, Antonio Diez de los - Bank of Canada - 2006

The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium...

Persistent link: https://www.econbiz.de/10005162430

A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate<br>

Chabi-Yo, Fousseni; Yang, Jun - Bank of Canada - 2007

We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries...

Persistent link: https://www.econbiz.de/10005162497

An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks

Bauer, Gregory H.; Rios, Antonio Diez de los - Bank of Canada - 2012

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 and is shown to be easy to estimate. We show that it is important to impose restrictions (including global asset pricing, carry...

Persistent link: https://www.econbiz.de/10009493657

Risk premium shocks and the zero bound on nominal interest rates

Amano, Robert A.; Shukayev, Malik - 2009

There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that...

Persistent link: https://www.econbiz.de/10003933335

Resurrecting the role of real money balance effects

Dorich, José - 2009

inflation and output dynamics in the United States. In particular, I find that real money balance effects are quantitatively … shock and the supply side effects of monetary policy. Second, the existence of real money balance effects causes higher …

Persistent link: https://www.econbiz.de/10003933293

Core inflation

Hogan, Seamus D.; Johnson, Marianne F.; Laflèche, Thérèse - 2001

Persistent link: https://www.econbiz.de/10001555173

Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns

Aizenman, Joshua; Pasricha, Gurnain - Bank of Canada - 2013

In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in recent decades. Liberalization of capital outflow controls can allow emerging-market economies (EMEs) to reduce net capital inflow (NKI) pressures, but may...

Persistent link: https://www.econbiz.de/10010849944