Antonio Diez de los Rios - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T07:26:01+00:00A Macroeconomic Model of an Epidemic with Silent Transmission and Endogenous Self-isolation
https://www.bankofcanada.ca/2020/11/staff-working-paper-2020-50/
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.2020-11-26T14:35:20+00:00enA Macroeconomic Model of an Epidemic with Silent Transmission and Endogenous Self-isolation2020-11-26Coronavirus disease (COVID-19)Economic modelsStaff Working Paper 2020-50https://www.bankofcanada.ca/wp-content/uploads/2020/11/swp2020-50.pdfAntonio Diez de los RiosNovember 2020EE1HH0II1A Portfolio-Balance Model of Inflation and Yield Curve Determination
https://www.bankofcanada.ca/2020/03/staff-working-paper-2020-6/
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.2020-03-09T14:55:00+00:00enA Portfolio-Balance Model of Inflation and Yield Curve Determination2020-03-09Asset pricingDebt managementInflation and pricesInterest ratesMonetary policyStaff Working Paper 2020-6https://www.bankofcanada.ca/wp-content/uploads/2020/03/swp2020-6.pdfStaff Working Paper 2020-6Antonio Diez de los RiosMarch 2020EE4E43E5E52GG1G12HH6H63CBDC and Monetary Sovereignty
https://www.bankofcanada.ca/2020/02/staff-analytical-note-2020-5/
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.2020-02-25T06:01:31+00:00enCBDC and Monetary Sovereignty2020-02-25Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-33/
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.2017-08-10T07:38:59+00:00enOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions2017-08-10Asset pricingEconometric and statistical methodsExchange ratesInterest ratesStaff Working Paper 2017-33https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-33.pdfOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear RegressionsAntonio Diez de los RiosAugust 2017EE4E43FF3F31GG1G12G15Quantitative Easing and Long‐Term Yields in Small Open Economies
https://www.bankofcanada.ca/2017/07/staff-working-paper-2017-26/
We compare the Federal Reserve’s asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program.2017-07-19T12:56:30+00:00enQuantitative Easing and Long‐Term Yields in Small Open Economies2017-07-19Financial marketsInterest ratesMonetary policyStaff Working Paper 2017-26https://www.bankofcanada.ca/wp-content/uploads/2017/07/swp2017-26.pdfQuantitative Easing and Long‐Term Yields in Small Open EconomiesAntonio Diez de los RiosMaral ShamlooJuly 2017EE4E43E5E52E58GG1G12What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
https://www.bankofcanada.ca/2014/09/working-paper-2014-42/
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.2014-09-09T07:55:42+00:00enWhat Does the Convenience Yield Curve Tell Us about the Crude Oil Market?2014-09-09Asset pricingInternational topicsWorking Paper 2014-42https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-42.pdfWhat Does the Convenience Yield Curve Tell Us about the Crude Oil Market?Ron AlquistGregory BauerAntonio Diez de los RiosSeptember 2014CC5C53GG1G12G13QQ4Q43A New Linear Estimator for Gaussian Dynamic Term Structure Models
https://www.bankofcanada.ca/2013/04/working-paper-2013-10/
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.2013-04-22T13:58:06+00:00enA New Linear Estimator for Gaussian Dynamic Term Structure Models2013-04-22Asset pricingEconometric and statistical methodsInterest ratesWorking Paper 2013-10https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-10.pdfA New Linear Estimator for Gaussian Dynamic Term Structure ModelsAntonio Diez de los RiosApril 2013CC1C13EE4E43GG1G12Global Risk Premiums and the Transmission of Monetary Policy
https://www.bankofcanada.ca/wp-content/uploads/2012/08/boc-review-summer12-bauer.pdf
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.2012-08-16T08:44:56+00:00enGlobal Risk Premiums and the Transmission of Monetary Policy2012-08-16An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
https://www.bankofcanada.ca/2012/02/working-paper-2012-5/
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.2012-02-17T10:49:19+00:00enAn International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks2012-02-17Asset pricingExchange ratesInterest ratesWorking Paper 2012-5https://www.bankofcanada.ca/wp-content/uploads/2012/02/wp2012-05.pdfAn International Dynamic Term Structure Model with Economic Restrictions and Unspanned RisksGregory BauerAntonio Diez de los RiosFebruary 2012EE4E43FF3F31GG1G12G15McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates
https://www.bankofcanada.ca/2008/10/working-paper-2008-43/
McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle.2008-10-28T16:20:31+00:00enMcCallum Rules, Exchange Rates, and the Term Structure of Interest Rates2008-10-28Exchange ratesInterest ratesMonetary policy transmissionWorking Paper 2008-43 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-43.pdfMcCallum Rules, Exchange Rates, and the Term Structure of Interest RatesAntonio Diez de los RiosOctober 2008EE4E43FF3F31GG1G12G15