E43 - Interest Rates: Determination, Term Structure, and Effects

• McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates

  Staff Working Paper 2008-43 Antonio Diez de los Rios

  McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Interest rates, Monetary policy transmission JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

• Combining Canadian Interest-Rate Forecasts

  Staff Working Paper 2008-34 David Bolder, Yuliya Romanyuk

  Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-management decisions. Use of multiple models does not necessarily solve the problem as it greatly increases the work required and still leaves the question "which model forecast should one use?"

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C11, E, E4, E43, E47

• Macroeconomic Determinants of the Term Structure of Corporate Spreads

  Staff Working Paper 2008-29 Jun Yang

  We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Financial markets, Interest rates JEL Code(s): E, E4, E43, E44, G, G1, G12

• Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?

  Staff Working Paper 2008-25 Philipp Maier, Garima Vasishtha

  Since 2002, spreads on emerging market sovereign debt have fallen to historical lows. Given the close links between sovereign spreads, capital flows to emerging markets, and economic growth, understanding the factors driving these spreads is very important. We address this issue in two stages.

  Content Type(s): Staff research, Staff working papers Topic(s): Development economics, Financial stability, International topics JEL Code(s): E, E4, E43, F, F3, F34, G, G1, G12, G15