• Curriculum Vitae [PDF]

• Publications:

Articles:

- A Macroeconomic Model of an Epidemic with Silent Transmission and Endogenous Self-Isolation,  Canadian Journal of Economics, 55 (S1), pp.  581-625, 2022

- A New Linear Estimator for Gaussian Dynamic Term Structure Models, Journal of Business and Economic Statistics, 33 (2), pp. 282-295, 2015. [Appendix]

- Testing Uncovered Interest Parity: A Continuous-Time Approach, joint work with E. Sentana, International Economic Review, 52 (4), pp. 1215–1251, 2011.

- Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns, joint work with R. Garcia, Journal of Applied Econometrics, 26 (2), pp. 193-212, 2011. [Appendix]

- The Option CAPM and the Performance of Hedge Funds, joint with R. Garcia, Review of Derivatives Research, 14 (2), pp. 137-167, 2011.

- Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets, Emerging Markets Review, 10 (4), pp. 311-330, 2009.

- Contagion and Portfolio Shift in Emerging Markets, joint work with A. Garcia-Herrero, Research in Banking and Finance, 4, pp. 301-320, 2004.

Notes and Short Papers:

- Optimal Asymptotic Least Squares Estimation in a Singular Set-Up, Economic Letters, 128, pp. 83-86, 2015. [Appendix]

- Internationally Affine Term Structure Models, Spanish Review of Financial Economics, 9 (1), pp. 31-34, 2011.

- Can Affine Term Structure Models Help Us Predict Exchange Rates?, Journal of Money, Credit and Banking, 41 (4), pp. 755-766, 2009. 

In Spanish:

- Crisis Cambiarias en Latinoamerica: Factores Especificos e Internacionales (Currency Crises in Latin-America: Specific and International Factors), joint work with A. Ortiz-Abarca, Informacion Comercial Española, Revista de Economia, 790, pp 93-106, March 2001. [Paper in PDF]

•  Working Papers:

- A Portfolio-Balance Model of Inflation and Yield Curve Determination, Bank of Canada Staff Working paper 2020-6. [March 2024 version]

- Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions, Bank of Canada Staff Working paper 2017-33. [November 2017 version]

- Quantitative Easing and Long‐Term Yields in Small Open Economies, joint with M. Shamloo, Bank of Canada Staff Working paper 2017-26. [November 2017 version]

•  Work-in-Progress:

- The Canadian Yield Curve: 1938 to 2014, joint with G. Bauer, S. Chaker and S. Ramirez

• Old Unpublished Working Papers:

        - What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?, joint with R. Alquist and G. Bauer, Bank of Canada Working Paper 2014-42. 

- An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks, joint work with G. Bauer, Bank of Canada Working Paper 2012-5. 

- McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates, Bank of Canada Working Paper 2008-43. 

- Extracting Policy Rate Expectations in Canada, joint with C. Reid, 2008. 

- American Depositary Receipts Premia, What Can We Learn from their Comovements?, 2003

• Links:

- My  SSRN Author Page

The views expressed here are those of the author and do not necessarily reflect those of the Bank of Canada.

 Last updated: March 20, 2024