Econometric and statistical methods

• A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate

  Staff Working Paper 2007-21 Fousseni Chabi-Yo, Jun Yang

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Econometric and statistical methods, Exchange rates, Financial markets, Interest rates JEL Code(s): E, E1, E12, E4, E43, F, F4, F41, G, G1, G12, G15

• Multivariate Realized Stock Market Volatility

  Staff Working Paper 2007-20 Gregory Bauer, Keith Vorkink

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C3, C32, C5, C53, G, G1, G14

• Does Indexation Bias the Estimated Frequency of Price Adjustment?

  Staff Working Paper 2007-15 Maral Kichian, Oleksiy Kryvtsov

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Inflation and prices JEL Code(s): E, E3, E31, E37