Antonio Diez de los Rios

Director, Monetary Policy Analysis & Research


Antonio Diez de los Rios is the Director, Monetary Policy Analysis & Research in the Financial Markets Department (FMD) at the Bank of Canada. His primary interests include the pricing of fixed-income securities and asset pricing models of exchange rate determination. In particular, he is interested in the use of yield curve models to extract financial market participants’ expectations about the future path of monetary policy. Antonio Diez de los Rios received his PhD in Economics from CEMFI (Madrid, Spain) and was a post-doctoral fellow at the Universite de Montreal.

Staff analytical notes

CBDC and Monetary Sovereignty

Staff Analytical Note 2020-5 Antonio Diez de los Rios, Yu Zhu
In an increasingly digitalized world, issuers of private digital currency can weaken central banks’ ability to stabilize the economy. By continuing to make central bank money attractive as a payment instrument in a digital world, a central bank digital currency (CDBC) could help to maintain a country’s monetary sovereignty.

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Staff working papers

A Macroeconomic Model of an Epidemic with Silent Transmission and Endogenous Self-isolation

Staff Working Paper 2020-50 Antonio Diez de los Rios
We study the interaction between epidemics and economic decisions in a model that has silent transmission of the virus. We find that rational behaviour strongly diminishes the severity of the epidemic but worsens the economic recession. We also find that the detection and isolation of not only symptomatic individuals but also those who are infected and asymptomatic or mildly symptomatic can reduce the severity of the recession caused by the pandemic.

A Portfolio-Balance Model of Inflation and Yield Curve Determination

Staff Working Paper 2020-6 Antonio Diez de los Rios
How does the supply of nominal government debt affect the macroeconomy? To answer this question, we propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule.

Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions

Staff Working Paper 2017-33 Antonio Diez de los Rios
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability.

What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

Staff Working Paper 2014-42 Ron Alquist, Gregory Bauer, Antonio Diez de los Rios
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, International topics JEL Code(s): C, C5, C53, G, G1, G12, G13, Q, Q4, Q43

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

Staff 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.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets

Staff Working Paper 2007-29 Antonio Diez de los Rios
This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime on the cost of capital and the integration of emerging financial markets. Since there is evidence that a fixed exchange rate regime reduces the currency risk premia demanded by foreign investors, the tentative conclusion is that a fixed exchange rate regime system can help reduce the cost of capital in emerging markets.

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Bank publications

Bank of Canada Review articles

August 16, 2012

Global Risk Premiums and the Transmission of Monetary Policy

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.

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Journal publications

Other publications

  • A New Linear Estimator for Gaussian Dynamic Term Structure Models,”
     Journal of Business and Economic Statistics, 33: 282-295, 2015
  • “Optimal Asymptotic Least Squares Estimation in a Singular Set-Up,”
    Economic Letters, 128: 83-86, 2015.
  • “Testing Uncovered Interest Parity: A Continuous-Time Approach,”
     (with E. Sentana), International Economic Review 52: p. 1215-1251, 2011.
  • “Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns,”
    (with R. Garcia), Journal of Applied Econometrics 26: 193–212, 2011.
  • “The Option CAPM and the Performance of Hedge Funds”
     (with R. Garcia), Review of Derivatives Research 14: 137-167, 2011.
  • “Internationally Affine Term Structure Models,”
     Spanish Review of Financial Economics 9: 31–34, 2011.
  • “Can Affine Term Structure Models Help Us Predict Exchange Rates?,”
    Journal of Money, Credit and Banking, 41, 755-766, 2009.
  • “Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets,”
    Emerging Markets Review, 10, pp. 311-330, 2009.