This paper develops an empirical cost of carry model with endogenously conditioned convenience yield. The approach is implemented using monthly prices of all futures contracts traded at the New York Mercantile Exchange between 1985 and 2006. Tests indicate that the model fits the data extremely...

Recent empirical studies examining the asymmetric effects of monetary shocks on economic activity do not systematically control for the non-monetary sources of fluctuations as well as the endogenous component of monetary policy. The evidence of asymmetry could simply reflect the failure to...

Over the past decade, inflation in many countries has been tepid, despite rock-bottom interest rates and different forms of unconventional stimulative monetary policy, including quantitative easing. For its part, Canada has averaged 1.5 percent inflation over this period, below the 2 percent...