Forecasting the Yield Curve of Government Bonds: A Comparative Study

For the past 20 years, researchers have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor model, and estimate this dynamic model using the Kalman filter. We compare both in-sample and out-of-sample performance of our dynamic methods with various other models in the literature. We find that our dynamic model dominates existing models in medium- and long-horizon yield curve predictions. However, the dynamic model should be used with caution when forecasting short maturity yields

Gala Performance on the occasion of the Commonwealth Heads of Government Meeting Programme

The programme from the Gala Performance on the occasion of the Commonwealth Heads of Government meeting, 7 August 1973. The event took place in the Opera of the National Arts Centre in Ottawa.

Letter - Ian Green to Sean O'Sullivan, July 1977

A correspondence between Ian Green and Sean O'Sullivan from July 1977. The first letter is from 4 July 1977 from Sean O'Sullivan, titled "The Nation's Business". He requests a discussion about "Caucus morale". O'Sullivan requests that Joe Clark individually acknowledge members of the party and say "a few words about how proud he is of the men and women who form the P.C. Caucus, and how well they represent the country--moreover, how well they are prepared to help form the next Government." A response from Ian Green (Legislative Assistant) is positive and he forwards the memo to Jodi White, Director of Communications.

Brock Essay - The Chateau Cabinet

An essay submitted to Professor J.E. Anderson by Sean O'Sullivan, 10 November 1975. The essay entitled, The Chateau Cabinet: A Case Study in Intra-Party Conflict, studies how "internal discontent---be it based on philosophical or personality difference---leads to intra-party conflict---and the roots of such discontent are indeed strong within the Progressive Conservative Party."

Invitation - Presentation Party in the Garden of Buckingham Palace, 1953

An invitation to an "Afternoon Presentation Party in the Garden of Buckingham Palace on Thursday 28th May 1953 from 4 to 6 o'clock". The invitation is to Mr. and Mrs. Arthur Schmon and lists dress attire for ladies and gentlemen.

Photograph - Dressed for a Wedding Party

A group of four young ladies all dressed in formal attire. They are standing next to a tree, and a barn or shed is seen behind them. The reverse of the photo has handwritten notes that read: Ulla Ekeuer-(or Eheuer) French, Eila Ekeuer (or Eheuer), "Two cousins of them two. Dressed for wedding party".

Letter from the Private Secretary of the Government House at York to William Woodruff

Letter (printed) from the private secretary of the Government House at York to William Woodruff, inviting him to attend a private meeting of the provincial legislature to dispatch public business, Dec. 10, 1828.

Letter to the Welland Canal Office from Welland Woodruff, Government Director of the Welland Canal Company

Letter to the Welland Canal Office from Welland Woodruff, Government Director of the Welland Canal Company in which he dissents from giving an extension of time to the St. Catharines Water Power Company to extend the lease of water from this time. This is a copy of the original, March 11, 1837.

Outlines of a System of polítical Economy; written with a view to prove to government and the country, that the cause of the present agricultural distress is entirely artificial..

UANL

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. the conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. the inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity. We establish the asymptotic validity of three easy-to-implement alternative bootstrap proposals for stationary autoregressive processes with m.d.s. errors subject to possible conditional heteroskedasticity of unknown form. These proposals are the fixed-design wild bootstrap, the recursive-design wild bootstrap and the pairwise bootstrap. In a simulation study all three procedures tend to be more accurate in small samples than the conventional large-sample approximation based on robust standard errors. In contrast, standard residual-based bootstrap methods for models with i.i.d. errors may be very inaccurate if the i.i.d. assumption is violated. We conclude that in many empirical applications the proposed robust bootstrap procedures should routinely replace conventional bootstrap procedures for autoregressions based on the i.i.d. error assumption.

The Backing of Government Debt and the Price Level

This paper studies the interdependence between fiscal and monetary policies, and their joint role in the determination of the price level. The government is characterized by a long-run fiscal policy rule whereby a given fraction of the outstanding debt, say d, is backed by the present discounted value of current and future primary surpluses. The remaining debt is backed by seigniorage revenue. The parameter d characterizes the interdependence between fiscal and monetary authorities. It is shown that in a standard monetary economy, this policy rule implies that the price level depends not only on the money stock, but also on the proportion of debt that is backed with money. Empirical estimates of d are obtained for OECD countries using data on nominal consumption, monetary base, and debt. Results indicate that debt plays only a minor role in the determination of the price level in these economies. Estimates of d correlate well with institutional measures of central bank independence.