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. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics, Exchange rate regimes JEL Code(s): F, F3, F30, F33, G, G1, G15
Can Affine Term Structure Models Help Us Predict Exchange Rates? Staff Working Paper 2006-27 Antonio Diez de los Rios The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
The Bank of Canada's Version of the Global Economy Model (BoC-GEM) Technical Report No. 98 René Lalonde, Dirk Muir The Bank of Canada's version of the Global Economy Model (BoC-GEM) is derived from the model created at the International Monetary Fund by Douglas Laxton (IMF) and Paolo Pesenti (Federal Reserve Bank of New York and National Bureau of Economic Research). Content Type(s): Staff research, Technical reports Research Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F3, F32, F4, F47
The Financialization of Food? Staff Working Paper 2013-39 Valentina G. Bruno, Bahattin Buyuksahin, Michel A. Robe Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the “financialization” of commodity markets. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Recent economic and financial developments JEL Code(s): G, G1, G12, G13, Q, Q1, Q11, Q13
Corporate Governance, Product Market Competition and Debt Financing Staff Working Paper 2014-5 Teodora Paligorova, Jun Yang This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G12, G3, G34
June 23, 2004 The Organizational Structure of Financial Market Regulation: Highlights from the Literature Financial System Review - June 2004 Christine Fay, Nicolas Parent Content Type(s): Publications, Financial System Review articles
Domestic and Multilateral Effects of Capital Controls in Emerging Markets Staff Working Paper 2015-37 Gurnain Pasricha, Matteo Falagiarda, Martin Bijsterbosch, Joshua Aizenman 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. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial system regulation and policies, International financial markets, International topics, Monetary policy framework JEL Code(s): F, F3, F32, F4, F41, F42, G, G1, G15
Private Information Flow and Price Discovery in the U.S. Treasury Market Staff Working Paper 2011-5 George Jiang, Ingrid Lo Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S. Treasury securities. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G14
Sovereign Default and State-Contingent Debt Staff Discussion Paper 2013-3 Martin Brooke, Rhys R. Mendes, Alex Pienkowski, Eric Santor The Latin American debt crises in the 1980s and the Asian crisis in the late 1990s both provided impetus for reforming the framework for restructuring sovereign debt. In the late 1980s, the Brady plan established the importance of substantive debt relief in addressing some crises. Content Type(s): Staff research, Staff discussion papers Research Topic(s): International financial markets, International topics JEL Code(s): F, F3, F34
The Welfare Cost of Inflation Revisited: The Role of Financial Innovation and Household Heterogeneity Staff Working Paper 2018-40 Shutao Cao, Césaire Meh, José-Víctor Ríos-Rull, Yaz Terajima We document that, across households, the money consumption ratio increases with age and decreases with consumption, and that there has been a large increase in the money consumption ratio during the recent era of very low interest rates. We construct an overlapping generations (OLG) model of money holdings for transaction purposes subject to age (older households use more money), cohort (younger generations are exposed to better transaction technology), and time effects (nominal interest rates affect money holdings). Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E2, E21, E4, E41