In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture...

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler's (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...

French Abstract: Quelle est l’importance des effets de richesse sur la consommation au Canada? On estime la propension marginale à consommer au Canada à partir de données sur la richesse financière et immobilière. On utilise le cadre conceptuel de Carroll et al. (2011) qui construit sur...