E4 - Money and Interest Rates

• Fractional Cointegration and the Demand for M1

  Staff Working Paper 2000-13 Greg Tkacz

  Using wavelets, the author estimates the fractional order of integration of a common long-run money-demand relationship whose parameters are obtained from a full-information maximum-likelihood procedure.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Monetary aggregates JEL Code(s): C, C1, C13, E, E4, E41

• Modelling Risk Premiums in Equity and Foreign Exchange Markets

  Staff Working Paper 2000-9 René Garcia, Maral Kichian

  The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, F, F3, F31, G, G1, G12, G15

• Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator

  Staff Working Paper 2000-5 Greg Tkacz

  The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from 1948 to 1999.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43