Financial markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T13:33:19+00:00Shift Contagion in Asset Markets
https://www.bankofcanada.ca/2003/02/working-paper-2003-5/
The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movement between markets during high-variance episodes are considered: larger common shocks operating through standard market linkages, and a structural change in the propagation of shocks between markets, called "shift contagion."2003-02-01T17:07:27+00:00enShift Contagion in Asset Markets2003-02-01Econometric and statistical methodsFinancial marketsWorking Paper 2003-5 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-5.pdfShift Contagion in Asset MarketsToni GravelleMaral KichianJames MorleyFebruary 2003CC3C32FF4F42GG1G15Are Distorted Beliefs Too Good to be True?
https://www.bankofcanada.ca/2003/02/working-paper-2003-4/
In a recent attempt to account for the equity-premium puzzle within a representative-agent model, Cecchetti, Lam, and Mark (2000) relax the assumption of rational expectations and in its place use the assumption of distorted beliefs. The author shows that the explanatory power of the distorted beliefs model is due to an inconsistency in the model and that an attempt to remove this inconsistency removes the model's explanatory power.2003-02-01T16:49:06+00:00enAre Distorted Beliefs Too Good to be True?2003-02-01Economic modelsFinancial marketsWorking Paper 2003-4 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-4.pdfAre Distorted Beliefs Too Good to be True?Miroslav MisinaFebruary 2003DD8D84GG1G12