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1034
result(s)
August 13, 1999
Recent Initiatives in the Canadian Market for Government of Canada Securities
The initiatives reviewed by the author were undertaken to ensure a liquid and well-functioning market for Government of Canada securities in light of the significant shift in the government's financial position. They include changes made in 1998 by the Bank of Canada and the government to the rules governing auctions and to the Bank's surveillance of the auction process, changes to the treasury bill and bond programs, and implementation of a pilot buyback program for Government of Canada marketable bonds. In addition, the Investment Dealers Association of Canada adopted a code of conduct for the secondary market. These initiatives were well received by the market and appear to have had a positive impact. The Bank and the government are, however, continuing their search for ways to maintain and enhance the efficiency of this market.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial markets
August 12, 1999
Recent Developments in Global Commodity Prices: Implications for Canada
The authors examine the recent evolution of commodity prices. They discuss the factors behind the price declines that occurred between the summer of 1997 and the end of 1998, including the key supply factors and the drop in Asian demand caused by that region's concurrent financial and economic crisis. They then review the effects of the reduction in world commodity prices on economic activity in Canada. They point out that the depreciation of the Canadian dollar against the U.S. dollar, together with the continued strength of the U.S. economy, has partly offset the negative effects on Canadian aggregate demand.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial markets
August 11, 1999
Preparations by the Canadian Financial Sector for the Year 2000
This article outlines the extensive work undertaken by the various participants in Canada's financial sector to ensure "business as usual" heading into January 2000 and beyond. The article looks at preparations in the Bank of Canada's own mission-critical systems and at those of the country's major clearing and settlement systems for which the Bank has oversight responsibility. It also looks at the steps taken by the financial institutions themselves. Contingency planning that takes account of specific year-2000 concerns is also reviewed.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial institutions
Greater Transparency in Monetary Policy: Impact on Financial Markets
Technical Report No. 86
Philippe Muller,
Mark Zelmer
Measures have been taken by the Bank of Canada to increase the transparency of Canadian monetary policy. This paper examines whether the greater transparency has improved financial markets' understanding of the conduct of monetary policy.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial markets,
Monetary policy implementation
JEL Code(s):
E,
E5,
E52,
E58,
G,
G1,
G14
Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market
Staff Working Paper 1999-11
Toni Gravelle
The aims of this study are to examine how liquidity in the Government of Canada securities market has evolved over the 1990s and to determine what factors influence the level of liquidity in this market, with some comparisons to the U.S. Treasury securities market. We find empirical support for the hypothesis that an increase in […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
D,
D4,
G,
G1,
G2
May 14, 1999
Open outcry and electronic trading in futures exchanges
Despite the efficiency gains that accompany automation, most large futures exchanges have been reluctant to move away from the traditional trading floor, citing early evidence that open outcry exchanges were more liquid than electronic exchanges. More recent studies, however, suggest that electronic trading is superior to open outcry in many respects, including liquidity. In this article, the author compares the two trading systems. Although many exchanges are shifting towards electronic trading, there are still several obstacles to this transition. But as technology rapidly reduces the cost of automation and increases the demand for global 24-hour trading, a worldwide transition to electronic order-matching will likely be the next important milestone for futures exchanges. Less-automated exchanges (including the Canadian futures exchanges) will undoubtedly continue to study and promote automation in order to keep pace with technological innovations.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial markets
Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets
Staff Working Paper 1999-6
Ben Fung,
Scott Mitnick,
Eli Remolona
Theory and empirical evidence suggest that the term structure of interest rates reflects risk premiums as well as market expectations about future inflation and real interest rates. We propose an approach to extracting such premiums and expectations by exploiting both the comovements among interest rates across the yield curve and between two countries, Canada and […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Inflation and prices,
Interest rates,
International topics
JEL Code(s):
E,
E4,
E43,
G,
G1,
G12,
G15
An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention
Staff Working Paper 1999-4
Neil Beattie,
Jean-François Fillion
This paper assesses the effectiveness of Canada's official foreign exchange intervention in moderating intraday volatility of the Can$/US$ exchange rate, using a 2-1/2-year sample of 10-minute exchange rate data. The use of high frequency data (higher than daily frequency) should help in assessing the impact of intervention since the foreign exchange market is efficient and […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
F,
F3,
F31,
G,
G1,
G15
Forecasting GDP Growth Using Artificial Neural Networks
Staff Working Paper 1999-3
Greg Tkacz,
Sarah Hu
Financial and monetary variables have long been known to contain useful leading information regarding economic activity. In this paper, the authors wish to determine whether the forecasting performance of such variables can be improved using neural network models. The main findings are that, at the 1-quarter forecasting horizon, neural networks yield no significant forecast improvements. […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Monetary and financial indicators
JEL Code(s):
C,
C4,
C45,
E,
E3,
E37,
E4,
E44