The standard vector error correction (VEC) model assumes the iid normal distribution of disturbance term in the model. This paper extends this assumption to include GARCH process. We call this model as VEC-GARCH model. However as the number of parameters in a VEC-GARCH model is large, the...

This paper evaluates if and how speculation affects the volatility of commodity futures: it distinguishes between short term and long term measures of speculation and investigates if the impact on volatility is different. Speculation is measured by means of four indexes: scalping, Working’s T,...

Options should play an important role in asset allocation. They allow for kernel spanning and provide access to additional (priced) risk factors such as stochastic volatility and negative jumps. Unfortunately, traditional methods of asset allocation (e.g. mean-variance optimization) are not...

This paper examines how globalisation has affected the transmission between changes in the policy rate and the term structure of interest rates. We …first estimate a cointegrated VAR model of the US daily term structure of interest rates. We then estimate the model using monthly data to allow...

Technological change has been attributed an important role in reducing the costs associated to climate change mitigation through GHG emission reductions. The adoption and deployment of low-carbon and environmentally friendly technologies has been at the center stage of climate negotiations....

To investigate to what extent adding financial frictions can contribute to an improvement in the quality of DSGE model-based forecasts DSGE models with and without financial frictions. Comparison of point and density forecasts. The main finding is that accounting for financial frictions...

Environmental policy decisions are dynamic in nature. Assumptions on the functional structure and rate of discounting have significant impacts on policy decisions regarding when to act and how much to invest. Environmental benefit-cost analysis historically has employed exponential discounting...

The objectives of this research are to develop a multi-region multi-sector CGE model with FDI that will allow assessing the impact of security measures on the Canadian and U.S. economies. We assess the impact in terms of Canada-U.S. bilateral trade and foreign direct investment, but also in...