René Garcia - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T07:09:54+00:00The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
https://www.bankofcanada.ca/2005/11/working-paper-2005-36/
The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates.2005-11-01T14:17:05+00:00enThe Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach2005-11-01Interest ratesWorking Paper 2005-36 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-36.pdfThe Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based ApproachRené GarciaRichard LugerNovember 2005EE4E43E44E47E5E52State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
https://www.bankofcanada.ca/2005/04/working-paper-2005-9/
The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000).2005-04-01T12:17:30+00:00enState Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle2005-04-01Financial marketsMarket structure and pricingWorking Paper 2005-9 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-9.pdfState Dependence in Fundamentals and Preferences Explains Risk-Aversion PuzzleFousseni Chabi-YoRené GarciaEric RenaultApril 2005GG1G12G13The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
https://www.bankofcanada.ca/2005/02/working-paper-2005-2/
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.2005-02-01T10:48:46+00:00enThe Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments2005-02-01Financial marketsMarket structure and pricingWorking Paper 2005-2 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-2.pdfThe Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order MomentsFousseni Chabi-YoRené GarciaEric RenaultFebruary 2005CC6C61GG1G11G12