Posts

• The Monetary Origins of Asymmetric Information in International Equity Markets

  Staff Working Paper 2004-47 Gregory Bauer, Clara Vega

  Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics, Market structure and pricing JEL Code(s): F, F3, F30, G, G1, G12, G14, G15

• Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni

  Staff Working Paper 2004-46 Charles St-Arnaud

  The author describes results obtained by using a new methodology to estimate potential output for the United Kingdom.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C32, E, E2, E23, E3, E32

• Modelling the Evolution of Credit Spreads in the United States

  Staff Working Paper 2004-45 Stuart Turnbull, Jun Yang

  The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13