Details about Antonio Diez de los Rios

Access statistics for papers by Antonio Diez de los Rios.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pdi158

Working Papers

2024

1. Estimating the Portfolio-Balance Effects of the Bank of Canada’s Government of Canada Bond Purchase Program
   Staff Working Papers, Bank of Canada
2. Evaluating the portfolio balance effects of the Government of Canada Bond Purchase Program on the Canadian yield curve
   Staff Analytical Notes, Bank of Canada
3. Évaluation des effets de portefeuille du Programme d’achat d’obligations du gouvernement du Canada sur la courbe de rendement canadienne
   Staff Analytical Notes, Bank of Canada

2020

4. A Macroeconomic Model of an Epidemic with Silent Transmission and Endogenous Self-isolation
   Staff Working Papers, Bank of Canada View citations (3)
   See also Journal Article A macroeconomic model of an epidemic with silent transmission and endogenous self‐isolation, Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons (2022) (2022)
5. A Portfolio-Balance Model of Inflation and Yield Curve Determination
   Staff Working Papers, Bank of Canada View citations (1)
6. CBDC and Monetary Sovereignty
   Staff Analytical Notes, Bank of Canada View citations (7)

2017

7. Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions
   Staff Working Papers, Bank of Canada View citations (4)
8. Quantitative Easing and Long-Term Yields in Small Open Economies
   Staff Working Papers, Bank of Canada View citations (21)
   Also in IMF Working Papers, International Monetary Fund (2017) View citations (14)

2014

9. What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
   Staff Working Papers, Bank of Canada View citations (15)

2013

10. A New Linear Estimator for Gaussian Dynamic Term Structure Models
    Staff Working Papers, Bank of Canada View citations (7)
    See also Journal Article A New Linear Estimator for Gaussian Dynamic Term Structure Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) View citations (15) (2015)

2012

11. An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
    Staff Working Papers, Bank of Canada View citations (30)

2008

12. McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates
    Staff Working Papers, Bank of Canada View citations (2)

2007

13. Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets
    Staff Working Papers, Bank of Canada
    Also in Working Papers, CEMFI (2004)
    Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces (2003)
    See also Journal Article Exchange rate regimes, globalisation, and the cost of capital in emerging markets, Emerging Markets Review, Elsevier (2009) View citations (5) (2009)
14. Testing Uncovered Interest Parity: A Continuous-Time Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Staff Working Papers, Bank of Canada (2007) View citations (10)
    Working Papers, CEMFI (2007) View citations (2)
    See also Journal Article 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 (2011) View citations (8) (2011)

2006

15. Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
    Staff Working Papers, Bank of Canada View citations (5)
    See also Journal Article Assessing and valuing the nonlinear structure of hedge fund returns, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (12) (2011)
16. Can Affine Term Structure Models Help Us Predict Exchange Rates?
    Staff Working Papers, Bank of Canada View citations (2)
    See also Journal Article Can Affine Term Structure Models Help Us Predict Exchange Rates?, Journal of Money, Credit and Banking, Blackwell Publishing (2009) View citations (19) (2009)

2004

17. CONTAGION AND PORTFOLIO SHIFT IN EMERGING COUNTRIES´ SOVEREIGN BONDS
    International Finance, University Library of Munich, Germany
    Also in Working Papers, Banco de España (2003) View citations (1)

Journal Articles

2022

1. A macroeconomic model of an epidemic with silent transmission and endogenous self‐isolation
   Canadian Journal of Economics/Revue canadienne d'économique, 2022, 55, (S1), 581-625
   See also Working Paper A Macroeconomic Model of an Epidemic with Silent Transmission and Endogenous Self-isolation, Staff Working Papers (2020) View citations (3) (2020)

2015

2. A New Linear Estimator for Gaussian Dynamic Term Structure Models
   Journal of Business & Economic Statistics, 2015, 33, (2), 282-295 View citations (15)
   See also Working Paper A New Linear Estimator for Gaussian Dynamic Term Structure Models, Staff Working Papers (2013) View citations (7) (2013)
3. Optimal asymptotic least squares estimation in a singular set-up
   Economics Letters, 2015, 128, (C), 83-86 View citations (2)

2012

4. Global Risk Premiums and the Transmission of Monetary Policy
   Bank of Canada Review, 2012, 2012, (Summer), 12-20 View citations (9)

2011

5. Assessing and valuing the nonlinear structure of hedge fund returns
   Journal of Applied Econometrics, 2011, 26, (2), 193-212 View citations (12)
   See also Working Paper Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns, Staff Working Papers (2006) View citations (5) (2006)
6. TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH
   International Economic Review, 2011, 52, (4), 1215-1251 View citations (8)
   See also Working Paper Testing Uncovered Interest Parity: A Continuous-Time Approach, CEPR Discussion Papers (2007) View citations (1) (2007)
7. The option CAPM and the performance of hedge funds
   Review of Derivatives Research, 2011, 14, (2), 137-167

2009

8. Can Affine Term Structure Models Help Us Predict Exchange Rates?
   Journal of Money, Credit and Banking, 2009, 41, (4), 755-766 View citations (19)
   Also in Journal of Money, Credit and Banking, 2009, 41, (4), 755-766 (2009) View citations (2)
   See also Working Paper Can Affine Term Structure Models Help Us Predict Exchange Rates?, Staff Working Papers (2006) View citations (2) (2006)
9. Exchange rate regimes, globalisation, and the cost of capital in emerging markets
   Emerging Markets Review, 2009, 10, (4), 311-330 View citations (5)
   See also Working Paper Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets, Staff Working Papers (2007) (2007)