Econometric and statistical methods
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A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries on their yield curves and the exchange rate. -
Multivariate Realized Stock Market Volatility
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns. -
Does Indexation Bias the Estimated Frequency of Price Adjustment?
We assess the implications of price indexation for estimated frequency of price adjustment in sticky price models of business cycles. These models predominantly assume that non-reoptimized prices are indexed to lagged or average inflation.