G - Financial Economics - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T14:48:16+00:00Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
https://www.bankofcanada.ca/1999/11/working-paper-1999-19/
Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […]1999-11-14T11:08:54+00:00enPricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model1999-11-14Econometric and statistical methodsMarket structure and pricingWorking Paper 1999-19 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-19.pdfPricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure ModelJohn KnightFuchun LiMingwei YuanNovember 1999CC1C14C2C22GG1G13Estimating One-Factor Models of Short-Term Interest Rates
https://www.bankofcanada.ca/1999/11/working-paper-1999-18/
There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]1999-11-04T10:41:22+00:00enEstimating One-Factor Models of Short-Term Interest Rates1999-11-04Financial marketsInterest ratesWorking Paper 1999-18 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-18.pdfEstimating One-Factor Models of Short-Term Interest RatesDes Mc ManusDavid WattNovember 1999CC5C52GG1G10The Regulation of Central Securities Depositories and the Linkages between CSDs and Large-Value Payment Systems
https://www.bankofcanada.ca/1999/11/technical-report-no87/
This paper first describes the Bank of Canada's approach to the design of large-value clearing and settlement systems. It then examines the way the Bank has operated under the Payment Clearing and Settlement Act, passed by Parliament in July 1996.1999-11-01T09:02:10+00:00enThe Regulation of Central Securities Depositories and the Linkages between CSDs and Large-Value Payment Systems1999-11-01Payment clearing and settlement systemsTechnical Report 87 https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr87.pdfThe Regulation of Central Securities Depositories and the Linkages between CSDs and Large-Value Payment SystemsCharles FreedmanNovember 1999GG2G20Canada's Exchange Rate Regime and North American Economic Integration: The Role of Risk-Sharing Mechanisms
https://www.bankofcanada.ca/1999/10/working-paper-1999-17/
Our contribution in this paper is threefold. First, we survey the empirical literature on consumption smoothing mechanisms of regional economic shocks. Second, building on the work of Asdrubali et al. (1996), we present evidence on the role played by various smoothing mechanisms for specific economic shocks affecting Canadian provinces. Third, we assess whether smoothing mechanisms […]1999-10-04T08:48:03+00:00enCanada's Exchange Rate Regime and North American Economic Integration: The Role of Risk-Sharing Mechanisms1999-10-04Exchange rate regimesExchange ratesWorking Paper 1999-17 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-17.pdfCanada's Exchange Rate Regime and North American Economic Integration: The Role of Risk-Sharing MechanismsZahir AntiaRamdane DjoudadPierre St-AmantOctober 1999FF3F33F36GG1G15The Information Content of Interest Rate Futures Options
https://www.bankofcanada.ca/1999/09/working-paper-1999-15/
Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several […]1999-09-14T08:35:44+00:00enThe Information Content of Interest Rate Futures Options1999-09-14Financial marketsInterest ratesWorking Paper 1999-15 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-15.pdfThe Information Content of Interest Rate Futures OptionsDes Mc ManusSeptember 1999GG1G14Greater Transparency in Monetary Policy: Impact on Financial Markets
https://www.bankofcanada.ca/1999/08/technical-report-no86/
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.1999-08-01T08:55:33+00:00enGreater Transparency in Monetary Policy: Impact on Financial Markets1999-08-01Financial marketsMonetary policy implementationTechnical Report 86 https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr86.pdfGreater Transparency in Monetary Policy: Impact on Financial MarketsPhilippe MullerMark ZelmerAugust 1999EE5E52E58GG1G14Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market
https://www.bankofcanada.ca/1999/07/working-paper-1999-11/
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 […]1999-07-03T15:18:48+00:00enLiquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market1999-07-03Financial marketsWorking Paper 1999-11 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-11.pdfLiquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States TreasuryToni GravelleJuly 1999DD4GG1G2Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets
https://www.bankofcanada.ca/1999/05/working-paper-1999-6/
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 […]1999-05-03T11:35:10+00:00enUncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets1999-05-03Financial marketsInflation and pricesInterest ratesInternational topicsWorking Paper 1999-6 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-6.pdfUncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial MarketsBen FungScott MitnickEli RemolonaMay 1999EE4E43GG1G12G15An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention
https://www.bankofcanada.ca/1999/02/working-paper-1999-4/
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 […]1999-02-03T11:00:36+00:00enAn Intraday Analysis of the Effectiveness of Foreign Exchange Intervention1999-02-03Exchange ratesFinancial marketsWorking Paper 1999-4 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-4.pdfAn Intraday Analysis of the Effectiveness of Foreign Exchange InterventionNeil BeattieJean-François FillionFebruary 1999FF3F31GG1G15