E4 - Money and Interest Rates - Bank of Canada
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2024-03-29T04:46:09+00:00
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Fractional Cointegration and the Demand for M1
https://www.bankofcanada.ca/2000/06/working-paper-2000-13/
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.
2000-06-08T10:00:14+00:00
en
Fractional Cointegration and the Demand for M1
2000-06-08
Econometric and statistical methods
Monetary aggregates
Working Paper 2000-13
https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-13.pdf
Fractional Cointegration and the Demand for M1
Greg Tkacz
June 2000
C
C1
C13
E
E4
E41
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Modelling Risk Premiums in Equity and Foreign Exchange Markets
https://www.bankofcanada.ca/2000/05/working-paper-2000-9/
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.
2000-05-07T16:06:53+00:00
en
Modelling Risk Premiums in Equity and Foreign Exchange Markets
2000-05-07
Exchange rates
Financial markets
Market structure and pricing
Working Paper 2000-9
https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-9.pdf
Modelling Risk Premiums in Equity and Foreign Exchange Markets
René Garcia
Maral Kichian
May 2000
E
E4
E44
F
F3
F31
G
G1
G12
G15
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Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
https://www.bankofcanada.ca/2000/02/working-paper-2000-5/
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.
2000-02-07T12:53:08+00:00
en
Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
2000-02-07
Econometric and statistical methods
Interest rates
Working Paper 2000-5
https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-5.pdf
Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
Greg Tkacz
February 2000
C
C1
C13
E
E4
E43