Topic: Exchange rates

1. 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

2. A Foreign Activity Measure for Predicting Canadian Exports

   Discussion Paper 2012-1 - Louis Morel

   The author constructs a measure of foreign activity that takes into account the composition of foreign demand for Canadian exports. It has a number of interesting features.

   Topics: Balance of payments and components; Exchange rates; Recent economic and financial developments