In this paper, we develop a theoretical model which identifies four channelsimport prices, competition with domestic suppliers and workers, and commodity pricesthrough which priceand wage-setting conditions in country j may affect inflation in country i. We estimate a dynamic inflation equation...

More than 80 central banks use a committee to take monetary policy decisions. The composition of the committee and the structure of the meeting can affect the quality of the decision making. In this paper we review economic, experimental, sociological and psychological studies to identify...

Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260 series for 20 OECD countries to analyze how global developments affect the Canadian economy. We focus on several sources of...

Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions....

This paper quantifies the impact of hurricanes on seaborne international trade to the United States. Using geocoded hurricane data mapped to satellite tracking data for commercial ships, we identify hurricane intersections on sea-trade routes between U.S. and foreign ports. Matching the timing...

The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...

We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia. Corporate bonds are priced in a reduced-form credit risk model...

A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios should be based on rare but plausibleʺ events that have either resulted in vulnerabilities in the past or could do so in the...

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...

A number of central banks publish their own business conditions survey based on non-random sampling methods. The results of these surveys influence monetary policy decisions and thus affect expectations in financial markets. To date, however, no one has computed the statistical accuracy of these...