Antonio Diez de los Rios

antonio-diez-de-los-rios

Principal Researcher

Antonio Diez de los Rios is a Principal Researcher in the Financial Markets Department at the Bank of Canada. His primary interests include the pricing of fixed-income securities and asset pricing models of exchange rate determination. In particular, he is interested in the use of yield curve models to extract financial market participants’ expectations about the future path of monetary policy. Antonio Diez de los Rios received his PhD in Economics from CEMFI (Madrid, Spain) and was a post-doctoral fellow at the Universite de Montreal.

Contact

Antonio Diez de los Rios

Principal Researcher
Financial Markets
Monetary Policy Analysis and Research

Bank of Canada
234 Laurier Avenue West
Ottawa, ON, K1A 0G9

Latest

What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

Staff Working Paper 2014-42 Ron Alquist, Gregory Bauer, Antonio Diez de los Rios
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, International topics JEL Code(s): C, C5, C53, G, G1, G12, G13, Q, Q4, Q43

A New Linear Estimator for Gaussian Dynamic Term Structure Models

Staff Working Paper 2013-10 Antonio Diez de los Rios
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43, G, G1, G12

16 August 2012 Global Risk Premiums and the Transmission of Monetary Policy

Bank of Canada Review - Summer 2012 Gregory Bauer, Antonio Diez de los Rios
An important channel in the transmission of monetary policy is the relationship between the short-term policy rate and long-term interest rates. Using a new term-structure model, the authors show that the variation in long-term interest rates over time consists of two components: one representing investor expectations of future policy rates, and another reflecting a term-structure risk premium that compensates investors for holding a risky asset. The time variation in the term-structure risk premium is countercyclical and largely determined by global macroeconomic conditions. As a result, long-term rates are pushed up during recessions and down during times of expansion. This is an important phenomenon that central banks need to take into account when using short-term rates as a policy tool.
Content Type(s): Publications, Bank of Canada Review Article Topic(s): Asset Pricing, Financial markets, Transmission of monetary policy JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

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

Staff Working Paper 2012-5 Gregory Bauer, Antonio Diez de los Rios
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.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

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

Staff Working Paper 2008-43 Antonio Diez de los Rios
McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Exchange rates, Interest rates, Transmission of monetary policy JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

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Other

Other Publications

  • “Internationally Affine Term Structure Models”
    Spanish Review of Financial Economics 9: 31–34, 2011.
  • “The Option CAPM and the Performance of Hedge Funds”
    (with R. Garcia), Review of Derivatives Research 14: 137-167, 2011.
  • “Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns”
    (with R. Garcia), Journal of Applied Econometrics 26 (2): 193–212, 2011.
  • “Testing Uncovered Interest Parity: A Continuous-Time Approach”
    (with E. Sentana), International Economic Review 52 (4), p. 1215-1251, 2011.

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Bank Publications

Research Interests

  • Yield curve modeling
  • Exchange rates
  • Financial econometrics

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Antonio Diez de los Rios

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