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Antonio Diez de los Rios

Personal Details

First Name:Antonio
Middle Name:
Last Name:Diez de los Rios
Suffix:
RePEc Short-ID:pdi158
[This author has chosen not to make the email address public]
http://antonioddr.googlepages.com/home
Terminal Degree:2004 (from RePEc Genealogy)

Affiliation

Bank of Canada

Ottawa, Canada
http://www.bank-banque-canada.ca/
RePEc:edi:bocgvca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Antonio Diez de los Rios, 2024. "Estimating the Portfolio-Balance Effects of the Bank of Canada’s Government of Canada Bond Purchase Program," Staff Working Papers 24-34, Bank of Canada.
  2. Antonio Diez de los Rios, 2024. "Évaluation des effets de portefeuille du Programme d’achat d’obligations du gouvernement du Canada sur la courbe de rendement canadienne," Staff Analytical Notes 2024-22fr, Bank of Canada.
  3. Antonio Diez de los Rios, 2024. "Evaluating the portfolio balance effects of the Government of Canada Bond Purchase Program on the Canadian yield curve," Staff Analytical Notes 2024-22, Bank of Canada.
  4. Antonio Diez de los Rios, 2020. "A Portfolio-Balance Model of Inflation and Yield Curve Determination," Staff Working Papers 20-6, Bank of Canada.
  5. Antonio Diez de los Rios, 2020. "A Macroeconomic Model of an Epidemic with Silent Transmission and Endogenous Self-isolation," Staff Working Papers 20-50, Bank of Canada.
  6. Antonio Diez de los Rios & Yu Zhu, 2020. "CBDC and Monetary Sovereignty," Staff Analytical Notes 2020-5, Bank of Canada.
  7. Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.
  8. Antonio Diez de los Rios & Maral Shamloo, 2017. "Quantitative Easing and Long-Term Yields in Small Open Economies," Staff Working Papers 17-26, Bank of Canada.
  9. Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014. "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Staff Working Papers 14-42, Bank of Canada.
  10. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
  11. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
  12. Antonio Diez de los Rios, 2008. "McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates," Staff Working Papers 08-43, Bank of Canada.
  13. Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Staff Working Papers 07-29, Bank of Canada.
  14. Antonio Diez de los Rios & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Staff Working Papers 07-53, Bank of Canada.
  15. Antonio Diez de los Rios, 2006. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Staff Working Papers 06-27, Bank of Canada.
  16. Antonio Diez de los Rios & René Garcia, 2006. "Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns," Staff Working Papers 06-31, Bank of Canada.
  17. Antonio Díez de los Ríos & Alicia García Herrero, 2003. "Contagion and portfolio shift in emerging countries' sovereign bonds," Working Papers 0317, Banco de España.

Articles

  1. Antonio Diez de los Rios, 2025. "A Portfolio-Balance Model of Inflation and Yield Curve Determination," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 15(2), pages 121-161.
  2. Antonio Diez de los Rios, 2022. "A macroeconomic model of an epidemic with silent transmission and endogenous self‐isolation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(S1), pages 581-625, February.
  3. Diez de los Rios, Antonio, 2015. "Optimal asymptotic least squares estimation in a singular set-up," Economics Letters, Elsevier, vol. 128(C), pages 83-86.
  4. Antonio Diez de Los Rios, 2015. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 282-295, April.
  5. Gregory Bauer & Antonio Diez de los Rios, 2012. "Global Risk Premiums and the Transmission of Monetary Policy," Bank of Canada Review, Bank of Canada, vol. 2012(Summer), pages 12-20.
  6. Antonio Diez De Los Rios & René Garcia, 2011. "Assessing and valuing the nonlinear structure of hedge fund returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(2), pages 193-212, March.
  7. Antonio Diez de los Rios & Enrique Sentana, 2011. "Testing Uncovered Interest Parity: A Continuous‐Time Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 1215-1251, November.
  8. Antonio Diez de los Rios & René Garcia, 2011. "The option CAPM and the performance of hedge funds," Review of Derivatives Research, Springer, vol. 14(2), pages 137-167, July.
  9. Antonio Diez De Los Rios, 2009. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 755-766, June.
  10. de los Rios, Antonio Diez, 2009. "Exchange rate regimes, globalisation, and the cost of capital in emerging markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 311-330, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Antonio Diez de los Rios, 2020. "A Macroeconomic Model of an Epidemic with Silent Transmission and Endogenous Self-isolation," Staff Working Papers 20-50, Bank of Canada.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Modelling > General Equilibrium

Working papers

  1. Antonio Diez de los Rios, 2020. "A Portfolio-Balance Model of Inflation and Yield Curve Determination," Staff Working Papers 20-6, Bank of Canada.

    Cited by:

    1. Andras Lengyel, 2022. "Treasury Supply Shocks and the Term Structure of Interest Rates in the UK," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).

  2. Antonio Diez de los Rios, 2020. "A Macroeconomic Model of an Epidemic with Silent Transmission and Endogenous Self-isolation," Staff Working Papers 20-50, Bank of Canada.

    Cited by:

    1. Miguel Casares & Paul Gomme & Hashmat Khan, 2022. "COVID‐19 pandemic and economic scenarios for Ontario," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(S1), pages 503-539, February.

  3. Antonio Diez de los Rios & Yu Zhu, 2020. "CBDC and Monetary Sovereignty," Staff Analytical Notes 2020-5, Bank of Canada.

    Cited by:

    1. Raphael Auer & Philipp Haene & Henry Holden, 2021. "Multi-CBDC arrangements and the future of cross-border payments," BIS Papers, Bank for International Settlements, number 115, May.
    2. Dionysopoulos, Lambis & Marra, Miriam & Urquhart, Andrew, 2024. "Central bank digital currencies: A critical review," International Review of Financial Analysis, Elsevier, vol. 91(C).
    3. Sergio Luis Náñez Alonso & Javier Jorge-Vazquez & Ricardo Francisco Reier Forradellas, 2020. "Detection of Financial Inclusion Vulnerable Rural Areas through an Access to Cash Index: Solutions Based on the Pharmacy Network and a CBDC. Evidence Based on Ávila (Spain)," Sustainability, MDPI, vol. 12(18), pages 1-33, September.
    4. Skylar Brooks, 2021. "Revisiting the Monetary Sovereignty Rationale for CBDCs," Discussion Papers 2021-16, Bank of Canada.
    5. Raphael Auer & Codruta Boar & Giulio Cornelli & Jon Frost & Henry Holden & Andreas Wehrli, 2021. "CBDCs beyond borders: results from a survey of central banks," BIS Papers, Bank for International Settlements, number 116, May.
    6. Thitima Chucherd & Chanokkarn Mek-yong & Nalin Nookhwun & Passawuth Nuntnarumit & Natta Piyakarnchana & Suparit Suwanik, 2021. "Monetary and Financial Perspectives on Retail CBDC in the Thai Context," PIER Discussion Papers 152, Puey Ungphakorn Institute for Economic Research.

  4. Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.

    Cited by:

    1. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    2. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2022. "Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 694-715.
    3. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).

  5. Antonio Diez de los Rios & Maral Shamloo, 2017. "Quantitative Easing and Long-Term Yields in Small Open Economies," Staff Working Papers 17-26, Bank of Canada.

    Cited by:

    1. Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," National Institute of Economic and Social Research (NIESR) Discussion Papers 489, National Institute of Economic and Social Research.
    2. Fabian Schär, 2021. "Decentralized Finance: On Blockchain- and Smart Contract-Based Financial Markets," Review, Federal Reserve Bank of St. Louis, vol. 103(2), pages 153-174, April.
    3. Gilles Dufrénot & Meryem Rhouzlane & Etienne Vaccaro-Grange, 2019. "Potential Growth and Natural Yield Curve in Japan," AMSE Working Papers 1912, Aix-Marseille School of Economics, France.
    4. Brubakk, Leif & ter Ellen, Saskia & Robstad, Ørjan & Xu, Hong, 2019. "The macroeconomic effects of forward communication," Working Paper 2019/20, Norges Bank.
    5. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    6. Evan Karson & Christopher J. Neely, 2020. "More Stories of Unconventional Monetary Policy," Working Papers 2020-043, Federal Reserve Bank of St. Louis.
    7. Lakdawala, Aeimit & Moreland, Timothy & Schaffer, Matthew, 2021. "The international spillover effects of US monetary policy uncertainty," Journal of International Economics, Elsevier, vol. 133(C).
    8. Petter Eilif de Lange & Morten Risstad & Kristian Semmen & Sjur Westgaard, 2023. "Term Premia in Norwegian Interest Rate Swaps," JRFM, MDPI, vol. 16(3), pages 1-19, March.
    9. Maria E. Canon & Limor Golan & Cody A. Smith, 2021. "Understanding the Gender Earnings Gap: Hours Worked, Occupational Sorting, and Labor Market Experience," Review, Federal Reserve Bank of St. Louis, vol. 103(2), pages 175-205, April.
    10. Dimitris Malliaropulos & Petros Migiakis, 2022. "A global monetary policy factor in sovereign bond yields," Working Papers 301, Bank of Greece.
    11. Yang Zhang & Lena Suchanek & Jonathan Swarbrick & Joel Wagner & Tudor Schlanger, 2021. "Sequencing Extended Monetary Policies at the Effective Lower Bound," Discussion Papers 2021-10, Bank of Canada.
    12. Stefania D'Amico & Tim Seida, 2020. "Unexpected Supply Effects of Quantitative Easing and Tightening," Working Paper Series WP-2020-17, Federal Reserve Bank of Chicago.
    13. Itay Goldstein & Jonathan Witmer & Jing Yang, 2018. "Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing," Staff Working Papers 18-33, Bank of Canada.
    14. Stephanie E. Curcuru & Steven B. Kamin & Canlin Li & Marius del Giudice Rodriguez, 2018. "International Spillovers of Monetary Policy : Conventional Policy vs. Quantitative Easing," International Finance Discussion Papers 1234, Board of Governors of the Federal Reserve System (U.S.).
    15. Sarah Drought & Roger Perry & Adam Richardson, 2018. "Aspects of implementing unconventional monetary policy in New Zealand," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 81, pages 1-22, May.
    16. Sungbae An & Hyosang Kim & Seung-Hyun Kim & Da Young Yang & Jinhee Lee & Ko Un Cho & Wongi Kim & Jinill Kim, 2021. "포스트 코로나 시대 주요국의 통화·재정정책 방향과 시사점(hanges, Challenges and Implications of Fiscal and Monetary Policy Directions in the Post Pandemic Era)," Policy Analyses 21-15, Korea Institute for International Economic Policy.
    17. Bruno Feunou & Rodrigo Sekkel & Morvan Nongni Donfack, 2018. "Does US or Canadian Macro News Drive Canadian Bond Yields?," Staff Analytical Notes 2018-38, Bank of Canada.
    18. Violeta A. Gutkowski, 2021. "Lockdown Responses to COVID-19," Review, Federal Reserve Bank of St. Louis, vol. 103(2), pages 127-151, April.
    19. Vijay Kumar & Sanjeev Acharya & Ly T. H. Ho, 2020. "Does Monetary Policy Influence the Profitability of Banks in New Zealand?," IJFS, MDPI, vol. 8(2), pages 1-17, June.

  6. Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014. "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Staff Working Papers 14-42, Bank of Canada.

    Cited by:

    1. Scheitrum, Daniel Paul & Carter, Colin A. & Jaffe, Amy Myers, 2017. "Testing substitution between private and public storage in the U.S. oil market: A study on the U.S. Strategic Petroleum Reserve," Energy Economics, Elsevier, vol. 64(C), pages 483-493.
    2. Sung Je Byun, 2016. "Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil," Occasional Papers 16-3, Federal Reserve Bank of Dallas.
    3. Daniele Valenti & Andrea Bastianin & Matteo Manera, 2022. "A weekly structural VAR model of the US crude oil market," Working Papers 2022.11, Fondazione Eni Enrico Mattei.
    4. Junttila, Juha & Pesonen, Juho & Raatikainen, Juhani, 2018. "Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 255-280.
    5. Nestor Le Clech & Carmen Fillat‐Castejón, 2017. "International aggregate agricultural supply for grain and oilseed: The effects of efficiency and technological change," Agribusiness, John Wiley & Sons, Ltd., vol. 33(4), pages 569-585, September.
    6. Cepni, Oguzhan & Gupta, Rangan & Karahan, Cenk C. & Lucey, Brian, 2022. "Oil price shocks and yield curve dynamics in emerging markets," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 613-623.
    7. Daniele Valenti & Matteo Manera & Alessandro Sbuelz, 2018. "Interpreting the Oil Risk Premium: do Oil Price Shocks Matter?," Working Papers 2018.03, Fondazione Eni Enrico Mattei.
    8. Clements, Adam & Shield, Cody & Thiele, Stephen, 2019. "Which oil shocks really matter in equity markets?," Energy Economics, Elsevier, vol. 81(C), pages 134-141.
    9. Martínez, Beatriz & Torró, Hipòlit, 2023. "Theory of storage implications in the European natural gas market," Journal of Commodity Markets, Elsevier, vol. 29(C).
    10. Ron Alquist & Reinhard Ellwanger & Jianjian Jin, 2020. "The effect of oil price shocks on asset markets: Evidence from oil inventory news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1212-1230, August.
    11. Gonzato, Luca & Sgarra, Carlo, 2021. "Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging," Energy Economics, Elsevier, vol. 99(C).
    12. Babacar Seck & Robert J. Elliott, 2021. "Regime Switching Entropic Risk Measures on Crude Oil Pricing," Papers 2112.13041, arXiv.org.
    13. Efthymios G. Pavlidis & Ivan Paya & David A. Peel, 2018. "Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 833-856, August.

  7. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.

    Cited by:

    1. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    2. Anh Le & Bruno Feunou & Christian Lundblad & Jean-Sébastien Fontaine, 2015. "Tractable Term Structure Models," Staff Working Papers 15-46, Bank of Canada.
    3. Januj Juneja, 2018. "Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 695-715, April.
    4. Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
    5. Diez de los Rios, Antonio, 2015. "Optimal asymptotic least squares estimation in a singular set-up," Economics Letters, Elsevier, vol. 128(C), pages 83-86.
    6. Adam Golinski & Peter Spencer, 2019. "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers 19/05, Department of Economics, University of York.
    7. Rangan Gupta & Hylton Hollander & Rudi Steinbach, 2020. "Forecasting output growth using a DSGE-based decomposition of the South African yield curve," Empirical Economics, Springer, vol. 58(1), pages 351-378, January.
    8. Dora Xia & Jing Cynthia Wu, 2018. "The negative interest rate policy and the yield curve," BIS Working Papers 703, Bank for International Settlements.
    9. Luis Ceballos & Alberto Naudon & Damián Romero, 2016. "Nominal term structure and term premia: evidence from Chile," Applied Economics, Taylor & Francis Journals, vol. 48(29), pages 2721-2735, June.
    10. Antonio Diez de los Rios & Maral Shamloo, 2017. "Quantitative Easing and Long-Term Yields in Small Open Economies," Staff Working Papers 17-26, Bank of Canada.
    11. Hlouskova, Jaroslava & Sögner, Leopold, 2020. "GMM estimation of affine term structure models," Econometrics and Statistics, Elsevier, vol. 13(C), pages 2-15.
    12. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
    13. Januj Amar Juneja, 2021. "How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?," Computational Management Science, Springer, vol. 18(1), pages 73-97, January.
    14. Januj Amar Juneja, 2022. "A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 173-220, June.
    15. Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.
    16. Audrino, Francesco & Offner, Eric A., 2024. "The impact of macroeconomic news sentiment on interest rates," International Review of Financial Analysis, Elsevier, vol. 94(C).

  8. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.

    Cited by:

    1. Denis Gorea & Oleksiy Kryvtsov & Tamon Takamura, 2016. "Leaning Within a Flexible Inflation-Targeting Framework: Review of Costs and Benefits," Discussion Papers 16-17, Bank of Canada.
    2. Gregory Bauer, 2014. "International House Price Cycles, Monetary Policy and Risk Premiums," Staff Working Papers 14-54, Bank of Canada.
    3. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
    4. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    5. Martos, Blake DeBruin & Sekkel, Rodrigo & Stern, Henry & Zhang, Xu, 2025. "Is anyone surprised? The high-frequency impact of U.S. and domestic macro data announcements on Canadian asset prices," Economics Letters, Elsevier, vol. 248(C).
    6. Mirko Abbritti & Mr. Salvatore Dell'Erba & Mr. Antonio Moreno & Mr. Sergio Sola, 2013. "Global Factors in the Term Structure of Interest Rates," IMF Working Papers 2013/223, International Monetary Fund.
    7. Chernov, Mikhail & Creal, Drew, 2022. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, C.E.P.R. Discussion Papers.
    8. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
    9. Oleksiy Kryvtsov & Miguel Molico & Ben Tomlin, 2015. "On the Nexus of Monetary Policy and Financial Stability: Recent Developments and Research," Discussion Papers 15-7, Bank of Canada.
    10. Mirkov, Nikola, 2012. "International Financial Transmission of the US Monetary Policy: An Empirical Assessment," Working Papers on Finance 1201, University of St. Gallen, School of Finance.
    11. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2019. "Decomposing global yield curve co-movement," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 500-513.
    12. Russell Barnett & Konrad Zmitrowicz, 2018. "Assessing the Impact of Demand Shocks on the US Term Premium," Discussion Papers 18-7, Bank of Canada.
    13. Andrew Meldrum & Marek Raczko & Peter Spencer, 2016. "Overseas unspanned factors and domestic bond returns," Bank of England working papers 618, Bank of England.
    14. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015. "Co-Movement, Spillovers and Excess Returns in Global Bond Markets," SIRE Discussion Papers 2015-75, Scottish Institute for Research in Economics (SIRE).
    15. Antonio Diez de los Rios & Maral Shamloo, 2017. "Quantitative Easing and Long-Term Yields in Small Open Economies," Staff Working Papers 17-26, Bank of Canada.
    16. Lauren Stagnol, 2019. "Extracting global factors from local yield curves," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 341-350, September.
    17. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & de Sola Perea, Maite, 2015. "A macro-financial analysis of the euro area sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 308-325.
    18. Rhys R. Mendes, 2014. "The Neutral Rate of Interest in Canada," Discussion Papers 14-5, Bank of Canada.
    19. Bauer, Gregory H., 2017. "International house price cycles, monetary policy and credit," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 88-114.
    20. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).
    21. Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
    22. Julieta Yung, 2014. "Can interest rate factors explain exchange rate fluctuations?," Globalization Institute Working Papers 207, Federal Reserve Bank of Dallas.
    23. Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.
    24. Olivier Gervais & Marc-André Gosselin, 2014. "Analyzing and Forecasting the Canadian Economy through the LENS Model," Technical Reports 102, Bank of Canada.
    25. Gregory Bauer & Gurnain Pasricha & Rodrigo Sekkel & Yaz Terajima, 2016. "The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies," Staff Working Papers 16-38, Bank of Canada.
    26. Abeer Reza & Eric Santor & Lena Suchanek, 2015. "Quantitative Easing as a Policy Tool Under the Effective Lower Bound," Discussion Papers 15-14, Bank of Canada.

  9. Antonio Diez de los Rios, 2008. "McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates," Staff Working Papers 08-43, Bank of Canada.

    Cited by:

    1. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    2. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).

  10. Antonio Diez de los Rios, 2007. "Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets," Staff Working Papers 07-29, Bank of Canada.

    Cited by:

    1. Gaies, Brahim & Goutte, Stéphane & Guesmi, Khaled, 2020. "Does financial globalization still spur growth in emerging and developing countries? Considering exchange rates," Research in International Business and Finance, Elsevier, vol. 52(C).
    2. Brian M Lucey & Cal Muckley, 2011. "Robust Global Stock Market Interdependencies," The Institute for International Integration Studies Discussion Paper Series iiisdp353, IIIS.
    3. Brahim Gaies & Stéphane Goutte & Khaled Guesmi, 2019. "Does Financial Globalization Still Spur Growth In Emerging And Developing Countries? Considering Exchange Rate Volatility'S Effects," Working Papers hal-01968082, HAL.
    4. Brahim Gaies & Stéphane Goutte & Khaled Guesmi, 2019. "Does Financial Globalization Still Spur Growth In Developing Countries? Considering Exchange Rate Volatility," Working Papers halshs-02175361, HAL.

  11. Antonio Diez de los Rios & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Staff Working Papers 07-53, Bank of Canada.

    Cited by:

    1. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
    2. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    3. Roberto Serrano, 2009. "On Watson’s Non-Forcing Contracts and Renegotiation," Working Papers wp2009_0907, CEMFI.
    4. David Martinez-Miera & Rafael Repullo, 2008. "Does Competition Reduce the Risk of Bank Failure?," Working Papers wp2008_0801, CEMFI.
    5. Wai-Mun Har & Ai-Lian Tan & Chong-Heng Lim & Chai-Thing Tan, 2017. "Does Interest Rate Still Matter in Determining Exchange Rate?," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 19-25.
    6. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI.
    7. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects of Basel II," Working Papers wp2008_0809, CEMFI.
    8. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
    9. Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
    10. Hwang, Taeyoon & Vogelsang, Timothy J., 2024. "Some fixed-b results for regressions with high frequency data over long spans," Journal of Econometrics, Elsevier, vol. 244(2).
    11. Macchiarelli, Corrado, 2011. "A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information," Working Paper Series 1404, European Central Bank.
    12. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2022. "Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 694-715.
    13. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2024. "The forward premium anomaly and the currency carry trade hypothesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 203-218.
    14. Joan Llull, 2008. "The Impact of Immigration on Productivity," Working Papers wp2008_0802, CEMFI.
    15. Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: A Unified Approach to Exact and Approximate Implementation," Working Papers wp2009_0908, CEMFI.
    16. Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
    17. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
    18. Kempa, Bernd & Riedel, Jana, 2013. "Nonlinearities in exchange rate determination in a small open economy: Some evidence for Canada," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 268-278.
    19. Efthymios Argyropoulos & Nikolaos Elias & Dimitris Smyrnakis & Elias Tzavalis, 2021. "Can country-specific interest rate factors explain the forward premium anomaly?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(2), pages 252-269, April.

  12. Antonio Diez de los Rios, 2006. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Staff Working Papers 06-27, Bank of Canada.

    Cited by:

    1. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
    2. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
    3. Yu-chin Chen & Kwok Ping Tsang, 2011. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers 012011, Hong Kong Institute for Monetary Research.
    4. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers 8503, C.E.P.R. Discussion Papers.
    5. Christodoulakis, George, 2020. "Estimating the term structure of commodity market preferences," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1146-1163.
    6. Jian Wang & Jason J. Wu, 2012. "The Taylor Rule and Forecast Intervals for Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 103-144, February.
    7. Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
    8. Carmen Gloria Silva, 2010. "Forward premium puzzle and term structure of interest rates: the case of New Zealand," Working Papers Central Bank of Chile 570, Central Bank of Chile.
    9. Sentana, Enrique & Diez de los Rios, Antonio, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," CEPR Discussion Papers 6516, C.E.P.R. Discussion Papers.
    10. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2022. "Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 694-715.
    11. Iryna Kaminska & Andrew Meldrum & James Smith, 2011. "A global model of international yield curves: no-arbitrage term structure approach," Bank of England working papers 419, Bank of England.
    12. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    13. Julieta Yung, 2014. "Can interest rate factors explain exchange rate fluctuations?," Globalization Institute Working Papers 207, Federal Reserve Bank of Dallas.
    14. Kuo, Chen-Yin, 2016. "Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory," Economic Modelling, Elsevier, vol. 52(PB), pages 772-789.
    15. Chen-Yin Kuo, 2017. "Is the accuracy of stock value forecasting relevant to industry factors or firm-specific factors? An empirical study of the Ohlson model," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 195-225, July.
    16. Wilmar Alexander Cabrera-Rodríguez & Daniela Rodríguez-Novoa & Camilo Eduardo Sánchez-Quinto, 2023. "A robust model for the term structure of interest rates: some applications in Colombia," Borradores de Economia 1255, Banco de la Republica de Colombia.

  13. Antonio Diez de los Rios & René Garcia, 2006. "Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns," Staff Working Papers 06-31, Bank of Canada.

    Cited by:

    1. Karagiorgis, Ariston & Drakos, Konstantinos, 2022. "The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Roumpis, Efthymios & Syriopoulos, Theodore, 2014. "Dynamics and risk factors in hedge funds returns: Implications for portfolio construction and performance evaluation," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 58-77.
    3. Javier Mencía, 2010. "Testing non-linear dependence in the hedge fund industry," Working Papers 1007, Banco de España.
    4. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," MetaArXiv ps2yn, Center for Open Science.
    5. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
    6. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," EconStor Preprints 260612, ZBW - Leibniz Information Centre for Economics.
    7. Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2024. "Is research on hedge fund performance published selectively? A quantitative survey," Journal of Economic Surveys, Wiley Blackwell, vol. 38(4), pages 1085-1131, September.
    8. G. Hübner & M. Lambert & N. Papageorgiou, 2015. "Higher†moment Risk Exposures in Hedge Funds," European Financial Management, European Financial Management Association, vol. 21(2), pages 236-264, March.
    9. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.
    10. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
    11. Antonio Diez de los Rios & René Garcia, 2011. "The option CAPM and the performance of hedge funds," Review of Derivatives Research, Springer, vol. 14(2), pages 137-167, July.
    12. Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
    13. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers 2013-22, Center for Research in Economics and Statistics.
    14. Roncalli, Thierry & Weisang, Guillaume, 2008. "Tracking problems, hedge fund replication and alternative beta," MPRA Paper 37358, University Library of Munich, Germany.

  14. Antonio Díez de los Ríos & Alicia García Herrero, 2003. "Contagion and portfolio shift in emerging countries' sovereign bonds," Working Papers 0317, Banco de España.

    Cited by:

    1. Angelo Marsiglia Fasolo, 2006. "Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets," Working Papers Series 112, Central Bank of Brazil, Research Department.

Articles

  1. Antonio Diez de los Rios, 2022. "A macroeconomic model of an epidemic with silent transmission and endogenous self‐isolation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(S1), pages 581-625, February.
    See citations under working paper version above.
  2. Diez de los Rios, Antonio, 2015. "Optimal asymptotic least squares estimation in a singular set-up," Economics Letters, Elsevier, vol. 128(C), pages 83-86.

    Cited by:

    1. Mayer, Walter J. & Liu, Feng & Dang, Xin, 2017. "Improving the power of the Diebold–Mariano–West test for least squares predictions," International Journal of Forecasting, Elsevier, vol. 33(3), pages 618-626.
    2. Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.

  3. Antonio Diez de Los Rios, 2015. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 282-295, April.
    See citations under working paper version above.
  4. Gregory Bauer & Antonio Diez de los Rios, 2012. "Global Risk Premiums and the Transmission of Monetary Policy," Bank of Canada Review, Bank of Canada, vol. 2012(Summer), pages 12-20.

    Cited by:

    1. Disyatat, Piti & Rungcharoenkitkul, Phurichai, 2017. "Monetary policy and financial spillovers: Losing traction?," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 115-136.
    2. Georges Prat & Remzi Uctum, 2021. "Term structure of interest rates: modelling the risk premium using a two horizons framework," Post-Print hal-03319099, HAL.
    3. Yizheng Fu & Zhifang Su & Aihua Lin, 2024. "Functional Cointegration Test for Expectation Hypothesis of the Term Structure of Interest Rates in China," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 799-820, December.
    4. Tommy Wu & Michael Cheng & Ken Wong, 2017. "Bayesian analysis of Hong Kong's housing price dynamics," Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 312-331, August.

  5. Antonio Diez De Los Rios & René Garcia, 2011. "Assessing and valuing the nonlinear structure of hedge fund returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(2), pages 193-212, March.
    See citations under working paper version above.
  6. Antonio Diez de los Rios & Enrique Sentana, 2011. "Testing Uncovered Interest Parity: A Continuous‐Time Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 1215-1251, November.
    See citations under working paper version above.
  7. Antonio Diez De Los Rios, 2009. "Can Affine Term Structure Models Help Us Predict Exchange Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 755-766, June.
    See citations under working paper version above.
  8. de los Rios, Antonio Diez, 2009. "Exchange rate regimes, globalisation, and the cost of capital in emerging markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 311-330, December.
    See citations under working paper version above.

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