The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size.Topics: Financial markets; Market structure and pricing
Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts. The inclusion of a microstructure variable, order flow, substantially improves the predictive power of both the linear and non-linear models. Two criteria are applied to evaluate model [...]Topics: Exchange rates
Bank of Canada Conference on Financial Market Structure and Dynamics to be held in Ottawa on 29 and 30 November 2001.