Publications and Research

1998 conference

Information in Financial Asset Prices

Proceedings of a conference held by the Bank of Canada, May 1998

Introduction

Kevin Clinton and Mark Zelmer

1. Extracting Information for Monetary Policy Strategy

Asset Pricing in Consumption Models: A Survey of the Literature (PDF, 131 kb)
Benoît Carmichael

Discussion:
Maral Kichian

Discussion: (PDF, 61 kb)
Jason Wei

General Discussion

Extraction of Expected Inflation from Canadian Forward Rates (PDF, 155 kb)
Joseph Atta-Mensah and Mingwei Yuan

Discussion: (PDF, 20 kb)
Arturo Estrella

Discussion: (PDF, 25 kb)
Angelo Melino

General Discussion

Yield and Inflation Differentials between Canada and the United States (PDF, 254 kb)
Ben Fung and Eli Remolona

Discussion: (PDF, 22 kb)
Nicola Anderson

Discussion: (PDF, 28 kb)
Mark Flood

General Discussion

Central Bank Policy, Inflation, and Stock Prices (PDF, 105 kb)
Ronald Giammarino

Discussion: (PDF, 41 kb)
William Barker

Discussion:
Jacques Lussier

General Discussion

2. Extracting Information for Monetary Policy Implementation

Towards a New Measure of Interest Rate Expectations in Canada: Estimating a Time-Varying Term Premium (PDF, 295 kb)
Toni Gravelle, Philippe Muller, and David Stréliski

Discussion: (PDF, 48 kb)
Mark Chandler

Discussion: (PDF, 23 kb)
Alan White

General Discussion

The Information Content of Canadian Dollar Futures Options (PDF, 393 kb)
Alexander Levin, Des Mc Manus, and David Watt

Discussion: (PDF, 60 kb)
Glen Donaldson

Discussion: (PDF, 21 kb)
Michael Narayan

General Discussion

Confidence Intervals and Constant-Maturity Series for Probability Measures Extracted from Options Prices (PDF, 269 kb)
William Melick and Charles Thomas

Discussion: (PDF, 13 kb)
Jerry Hanweck

Discussion: (PDF, 22 kb)
Richard Black

General Discussion

Pitfalls and Opportunities for the Conduct of Monetary Policy in a World of High-Frequency Data (PDF, 240 kb)
Pierre Siklos

Discussion:
Lloyd Atkinson

Discussion:
John Murray

General Discussion

3. Wrap-Up

Wrap-Up Discussion:
Charles Freedman

Wrap-Up Discussion:
Frank Milne

Response and General Discussion

The Participants

List of participants (PDF, 37 kb)



Bank topic index: Monetary and Financial Indicators