Information in Financial Asset Prices - 1998 conference

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
Benoît Carmichael

Discussion:
Maral Kichian

Discussion:
Jason Wei

General Discussion

Extraction of Expected Inflation from Canadian Forward Rates
Joseph Atta-Mensah and Mingwei Yuan

Discussion:
Arturo Estrella

Discussion:
Angelo Melino

General Discussion

Yield and Inflation Differentials between Canada and the United States
Ben Fung and Eli Remolona

Discussion:
Nicola Anderson

Discussion:
Mark Flood

General Discussion

Central Bank Policy, Inflation, and Stock Prices
Ronald Giammarino

Discussion:
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
Toni Gravelle, Philippe Muller, and David Stréliski

Discussion:
Mark Chandler

Discussion:
Alan White

General Discussion

The Information Content of Canadian Dollar Futures Options
Alexander Levin, Des Mc Manus, and David Watt

Discussion:
Glen Donaldson

Discussion:
Michael Narayan

General Discussion

Confidence Intervals and Constant-Maturity Series for Probability Measures Extracted from Options Prices
William Melick and Charles Thomas

Discussion:
Jerry Hanweck

Discussion:
Richard Black

General Discussion

Pitfalls and Opportunities for the Conduct of Monetary Policy in a World of High-Frequency Data
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

Bank topic index: Monetary and Financial Indicators