Market structure and pricing - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T02:09:04+00:00The Monetary Origins of Asymmetric Information in International Equity Markets
https://www.bankofcanada.ca/2004/12/working-paper-2004-47/
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation.2004-12-01T09:57:47+00:00enThe Monetary Origins of Asymmetric Information in International Equity Markets2004-12-01Financial marketsInternational topicsMarket structure and pricingWorking Paper 2004-47 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-47.pdfThe Monetary Origins of Asymmetric Information in International Equity MarketsGregory BauerClara VegaDecember 2004FF3F30GG1G12G14G15Modelling the Evolution of Credit Spreads in the United States
https://www.bankofcanada.ca/2004/12/working-paper-2004-45/
The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries.2004-12-01T08:26:38+00:00enModelling the Evolution of Credit Spreads in the United States2004-12-01Financial marketsMarket structure and pricingWorking Paper 2004-45 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-45.pdfModelling the Evolution of Credit Spreads in the United StatesStuart TurnbullJun YangDecember 2004GG1G12G13Real Return Bonds: Monetary Policy Credibility and Short-Term Inflation Forecasting
https://www.bankofcanada.ca/wp-content/uploads/2010/06/reid1.pdf
The break-even inflation rate (BEIR) is calculated by comparing the yields on conventional and Real Return Bonds. Defined as the average rate of inflation that equates the expected returns on these two bonds, the BEIR has the potential to contain useful information about long-run inflation expectations. Yet the BEIR has been higher, on average, and more variable than survey measures of inflation expectations, which may be explained by the effects of premiums and distortions embedded in the BEIR. Because of the difficulty in accounting for these distortions, the BEIR should not be given a large weight as a measure of long-run inflation expectations at this time. However, as the Real Return Bond market continues to develop, the BEIR should become a more useful indicator of inflation expectations. At present, it demonstrates no clear advantage over survey measures and even past inflation rates in forecasting near-term inflation.2004-11-23T14:25:45+00:00enReal Return Bonds: Monetary Policy Credibility and Short-Term Inflation Forecasting2004-11-23Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate
https://www.bankofcanada.ca/2004/11/working-paper-2004-43/
According to the Fisher hypothesis, the gap between Canadian nominal and Real Return Bond yields (or break-even inflation rate) should be a good measure of inflation expectations.2004-11-01T16:59:13+00:00enReal Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate2004-11-01Inflation and pricesInterest ratesMarket structure and pricingWorking Paper 2004-43 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-43.pdfReal Return Bonds, Inflation Expectations, and the Break-Even Inflation RateIan ChristensenChristopher ReidFrédéric DionNovember 2004EE3E31E4E43International Equity Flows and Returns: A Quantitative Equilibrium Approach
https://www.bankofcanada.ca/2004/11/working-paper-2004-42/
The authors model trading by foreign and domestic investors in developed-country equity markets.2004-11-01T16:54:24+00:00enInternational Equity Flows and Returns: A Quantitative Equilibrium Approach2004-11-01Financial marketsInternational topicsMarket structure and pricingWorking Paper 2004-42 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-42.pdfInternational Equity Flows and Returns: A Quantitative Equilibrium ApproachRui AlbuquerqueMartin SchneiderGregory BauerNovember 2004FF3F30GG1G12G14G15The Efficiency of Canadian Capital Markets: Some Bank of Canada Research
https://www.bankofcanada.ca/wp-content/uploads/2010/06/hendry.pdf
Capital markets and their related financial instruments make an important contribution to the welfare of Canadians. The Bank of Canada is interested in the efficient functioning of capital markets through each of its responsibilities for monetary policy, the financial system, and funds management. Hendry and King highlight the key findings of Bank research published over the past year that addresses capital market efficiency and summarize lessons that have been learned. The research conducted thus far suggests that Canadian capital markets are efficient for a capital market of Canada's size but are less diverse than the U.S. capital markets, indicating that there is room for improvement in certain areas.2004-08-24T13:27:07+00:00enThe Efficiency of Canadian Capital Markets: Some Bank of Canada Research2004-08-24Competition in Banking: A Review of the Literature
https://www.bankofcanada.ca/2004/06/working-paper-2004-24/
The author reviews the theoretical and empirical literature to examine the traditional perception that the following trade-off exists between economic efficiency and stability in the banking system: a competitive banking system is more efficient and therefore important to growth, but market power is necessary for stability in the banking system.2004-06-01T17:41:58+00:00enCompetition in Banking: A Review of the Literature2004-06-01Financial institutionsFinancial servicesMarket structure and pricingWorking Paper 2004-24 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-24.pdfCompetition in Banking: A Review of the LiteratureCarol Ann NorthcottJune 2004GG2G21G28LL1L11L12L13L16The Effects of Economic News on Bond Market Liquidity
https://www.bankofcanada.ca/2004/05/working-paper-2004-16/
The authors contrast the impact of two sources of information flow on the volatility of prices, trading activity, and liquidity in the brokered interdealer market for Government of Canada bonds.2004-05-01T13:01:06+00:00enThe Effects of Economic News on Bond Market Liquidity2004-05-01Debt managementFinancial marketsMarket structure and pricingWorking Paper 2004-16 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-16.pdfThe Effects of Economic News on Bond Market LiquidityChris D'SouzaCharles GaaMay 2004GG1G14The Economic Theory of Retail Pricing: A Survey
https://www.bankofcanada.ca/2004/03/working-paper-2004-8/
The types of contracts that arise in a typical vertical manufacturer–retailer relationship are more sophisticated than usually assumed in standard macroeconomic models.2004-03-01T11:39:28+00:00enThe Economic Theory of Retail Pricing: A Survey2004-03-01Market structure and pricingWorking Paper 2004-8 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-8.pdfThe Economic Theory of Retail Pricing: A SurveyOana SecrieruMarch 2004DD4D40LL2L22L4L42