Staff research, Publications
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June 21, 2009
Financial System Review - June 2009
Policy-makers around the world met the intensification of the global financial crisis at the end of 2008 with a forceful response aimed at restoring confidence in the global financial system, promoting the flow of credit, and supporting economic activity.
Erratum: Legends for Chart 13 on page 15 of the June 2009 issue should read: Argentina (right scale), Mexico (left scale). See revised chart.
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June 17, 2009
Qualitative Research on the Monetary Policy Report – Key Findings, 2009
The Bank's Monetary Policy Report (MPR) has been published since May 1995. Currently, there are about 1,400 subscribers to the MPR. Some 6,100 readers are notified of its publication through Bank Messenger, an email alert service. Earlier this year, the Bank decided to seek formally, for the first time, readers' views on the MPR (its […] -
The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness.