We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model becomes highly tractable with a closed-form yield...

No-arbitrage dynamic term structure models (DTSMs) have regularly been used to estimate interest rate expectations and term premia, but are beset by empirical challenges. I propose augmenting DTSMs with overnight indexed swap (OIS) rates to better estimate the decomposition along the term...

Inflation rates are highly persistent and extremely difficult to predict. Most statistical predictions based on predictive regressions fail to outperform the simple assumption of random walk in out-of-sample testing. The poor out-of-sample performance is a common feature of predictive...

There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying interest rates. We use the joint time-series of swap rates and interest rate...

This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate theories of Keynes and Kalecki. While Keynes stated that the future of the rate of interest is uncertain because it is numerically incalculable, Kalecki was convinced that it...

We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model becomes highly tractable with a closed-form yield...

We present two models for long-term inflation expectations and inflation risk premiums for Canada. First, we estimate inflation expectations using a vector autoregressive model based on the relationship of inflation with both the unemployment gap and the term structure of the Government of...

We present two models for long-term inflation expectations and inflation risk premiums for Canada. First, we estimate inflation expectations using a vector autoregressive model based on the relationship of inflation with both the unemployment gap and the term structure of the Government of...

In this paper, the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe's law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

In this paper the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe's law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's law...