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Gregory Bauer
Gregory Bauer
Research Director
Bank of Canada
234 Wellington Street
Ottawa, ON K1A 0G9

Curriculum vitae

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Gregory Bauer

Research Director

About Gregory Bauer

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Bank of Canada publications

  1. Global Risk Premiums and the Transmission of Monetary Policy

    Bank of Canada Review Article: Bank of Canada Review - Summer 2012 - Gregory Bauer, Antonio Diez de los Rios

    An important channel in the transmission of monetary policy is the relationship between the short-term policy rate and long-term interest rates. Using a new term-structure model, the authors show that the variation in long-term interest rates over time consists of two components: one representing investor expectations of future policy rates, and another reflecting a term-structure risk premium that compensates investors for holding a risky asset. The time variation in the term-structure risk premium is countercyclical and largely determined by global macroeconomic conditions. As a result, long-term rates are pushed up during recessions and down during times of expansion. This is an important phenomenon that central banks need to take into account when using short-term rates as a policy tool.

    Topics: Asset Pricing; Financial markets; Transmission of monetary policy

  2. An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks

    Working Paper 2012-5 - Gregory Bauer, Antonio Diez de los Rios

    We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate.

    Topics: Asset Pricing; Exchange rates; Interest rates

  6. Multivariate Realized Stock Market Volatility

    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.

    Topics: Econometric and statistical methods; Financial markets

  7. A Summary of the Bank of Canada Conference on Fixed-Income Markets, 3–4 May 2006

    Bank of Canada Review Article: Bank of Canada Review - Winter 2006-2007 - Gregory Bauer, Scott Hendry

    The Bank of Canada's interest in fixed-income markets spans several of its functional areas of responsibility, including monetary policy, funds management, and financial system stability and efficiency. For that reason, the 2006 conference brought together top academics and central bankers from around the world to discuss leading-edge work in the field of fixed-income research. The papers and discussions cover such topics as the efficiency of fixed-income markets, price formation, the determinants of the yield curve, and volatility modelling. This article provides a short summary of each conference paper and the ensuing discussion.

    Topics: Debt Management; Financial markets; Interest rates

  8. The Monetary Origins of Asymmetric Information in International Equity Markets

    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.

    Topics: Financial markets; International topics; Market structure and pricing

  9. International Equity Flows and Returns: A Quantitative Equilibrium Approach

    Working Paper 2004-42 - Rui Albuquerque, Martin Schneider, Gregory Bauer

    The authors model trading by foreign and domestic investors in developed-country equity markets.

    Topics: Financial markets; International topics; Market structure and pricing
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Education

  • Ph.D. (Finance), University of Pennsylvania (1996)
  • M.A. (Economics), Queen's University (1989)
  • B.A. (Applied Economics), University of Waterloo (1986)

Research Interests

  • International Finance (exchange rates, term structures and commodities)
  • Investments
  • Bayesian and Frequentist Empirical Asset Pricing

Publications

Refereed Journals

  • “Forecasting Multivariate Realized Stock Market Volatility”
    (with Keith Vorkink, Brigham Young University), Journal of Econometrics 160 (1), 2011, pp.93-101.
  • “Global Private Information in International Equity Markets”
    (with Rui Albuquerque, Boston University and Martin Schneider, Stanford University), Journal of Financial Economics 94, 2009, pp. 18-46.
  • “The Monetary Origins of Asymmetric Information in International Equity Markets”
    (with Clara Vega, Board of Governors of the Federal Reserve), Journal of International Money and Finance 27, 2008, pp.1029-1055 (lead article).
  • “International Equity Flows and Returns: A Quantitative Equilibrium Approach”
    (with Rui Albuquerque, Boston University and Martin Schneider, Stanford University), Review of Economic Studies 74, 2007, pp.1-30 (lead article).

Other Publications

  • “In the Know: Global Private Information in International Equity Markets”,
    Canadian Investment Review, Summer 2007.

Other Research

  • “A Multi-Country Term Structure Model with Economic Restrictions and Unspanned Risks,”
    (with Antonio Diez de los Rios, Bank of Canada)
  • “Conditional Currency Hedging and Asset Market Shocks”
  • “The Foreign Exchange Risk Premium Over the Long Run”

Other

Work in Progress

  • “The Crude Oil Futures Curve, the U.S. Term Structure, and Global Macroeconomic Fundamentals,” (with Ron Alquist, Bank of Canada and Antonio Diez de los Rios, Bank of Canada).
  • “The Government of Canada Yield Curve, 1936 – 2012,” (with Selma Chaker and Antonio Diez de los Rios, Bank of Canada).
  • “Cointegration, Beliefs and Learning about the Exchange Rate over the Long Run: A Portfolio Perspective,” (with Michela Verardo, LSE).
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