Research is central to the monetary policy framework. The Bank continues to broaden its research and analysis of structural and sectoral issues, while establishing research partnerships with outside institutions and individuals.
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.
Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices.
6th Joint Bank of Canada and European Central Bank Conference (Ottawa, 8-9 June, 2015) on “The underwhelming global post-crisis growth performance – determinants, effects and policy implications”. The submission deadline is 8 March, 2015.