Staff working papers - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T11:48:41+00:00Nowcasting BRIC+M in Real Time
https://www.bankofcanada.ca/2015/10/working-paper-2015-38/
Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies.2015-10-28T09:31:09+00:00enNowcasting BRIC+M in Real Time2015-10-28Econometric and statistical methodsInternational topicsWorking Paper 2015-38https://www.bankofcanada.ca/wp-content/uploads/2015/10/wp-2015-38.pdfNowcasting BRIC+M in Real TimeTatjana DahlhausJustin-Damien GuénetteGarima VasishthaOctober 2015CC3C33C5C53EE3E37Domestic and Multilateral Effects of Capital Controls in Emerging Markets
https://www.bankofcanada.ca/2015/10/working-paper-2015-37/
Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001–11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls.2015-10-23T10:31:48+00:00enDomestic and Multilateral Effects of Capital Controls in Emerging Markets2015-10-23Econometric and statistical methodsFinancial system regulation and policiesInternational financial marketsInternational topicsMonetary policy frameworkWorking Paper 2015-37https://www.bankofcanada.ca/wp-content/uploads/2015/10/wp2015-37.pdfDomestic and Multilateral Effects of Capital Controls in Emerging MarketsGurnain PasrichaMatteo FalagiardaMartin BijsterboschJoshua AizenmanOctober 2015FF3F32F4F41F42GG1G15Downside Variance Risk Premium
https://www.bankofcanada.ca/2015/10/working-paper-2015-36/
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.2015-10-22T10:52:04+00:00enDownside Variance Risk Premium2015-10-22Asset pricingWorking Paper 2015-36https://www.bankofcanada.ca/wp-content/uploads/2015/10/wp2015-36.pdfDownside Variance Risk PremiumBruno FeunouMohammad R. Jahan-ParvarCédric OkouOctober 2015GG1G12