Edouard Djeutem - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:33:40+00:00Household Heterogeneity and the Performance of Monetary Policy Frameworks
https://www.bankofcanada.ca/2022/03/staff-working-paper-2022-12/
Consumption inequality and a low interest rate environment are two important trends in today’s economy. But the implications they may have—and how those implications interact—within different monetary policy frameworks are not well understood. We study the ranking of alternative frameworks that take these trends into account.2022-03-07T15:44:04+00:00enHousehold Heterogeneity and the Performance of Monetary Policy Frameworks2022-03-07Economic modelsMonetary policy and uncertaintyMonetary policy frameworkMonetary policy transmissionStaff Working Paper 2022-12https://www.bankofcanada.ca/wp-content/uploads/2022/03/swp2022-12.pdfStaff Working Paper 2022-12Edouard DjeutemMario HeAbeer RezaYang ZhangMarch 2022DD3D31D5D52EE2E21E3E31E5E52E58Model Uncertainty and Wealth Distribution
https://www.bankofcanada.ca/2019/12/staff-working-paper-2019-48/
This paper studies the implications of model uncertainty for wealth distribution in a tractable general equilibrium model with a borrowing constraint and robustness à la Hansen and Sargent (2008). Households confront model uncertainty about the process driving the return of the risky asset, and they choose robust policies.2019-12-17T08:29:50+00:00enModel Uncertainty and Wealth Distribution2019-12-17Asset pricingBusiness fluctuations and cyclesEconomic modelsStaff Working Paper 2019-48https://www.bankofcanada.ca/wp-content/uploads/2019/12/swp2019-48.pdfModel Uncertainty and Wealth DistributionEdouard DjeutemShaofeng XuDecember 2019DD3D8EE2Uncovered Return Parity: Equity Returns and Currency Returns
https://www.bankofcanada.ca/2018/05/staff-working-paper-2018-22/
We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency.2018-05-14T14:47:01+00:00enUncovered Return Parity: Equity Returns and Currency Returns2018-05-14Asset pricingExchange ratesInternational financial marketsStaff Working Paper 2018-22https://www.bankofcanada.ca/wp-content/uploads/2018/05/swp2018-22.pdfUncovered Return Parity: Equity Returns and Currency ReturnsEdouard DjeutemGeoffrey R. DunbarMay 2018EE4E43FF3F31GG1G15