The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movement between markets during high-variance episodes are considered: larger common shocks operating through standard market...

This paper employs a Kalman filter approach to test the Expectations Hypothesis and characterize how term premia have changed over time for short-term Canadian interest rates. The Kalman filter approach is extended to account for changes in interest rate volatility, possible permanent changes in...

The purpose of this paper is to examine whether the level of inflation matters for the persistence of output growth when shocks to output have asymmetric effects. The idea that inflation could have such threshold effects is worth investigating because some authors have suggested that a low...

The authors structurally estimate and evaluate, for the U.S., the E.U., and Canada, various classes of recently-proposed Calvo-type models, using identification-robust methods. The models differ in their assumptions regarding price indexation (when firms cannot re-optimize their pices), in the...