November 21, 2004
Credit and credit aggregates, Lender of last resort, Monetary and financial indicators, Financial institutions, Financial markets, International financial markets, Monetary policy implementation, Financial system regulation and policies, Financial services, Financial stability, Market structure and pricing, Payment clearing and settlement systems
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Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate
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. -
International Equity Flows and Returns: A Quantitative Equilibrium Approach
The authors model trading by foreign and domestic investors in developed-country equity markets. -
Finance Constraints and Inventory Investment: Empirical Tests with Panel Data
The author empirically tests two aspects of the interaction between financial variables and inventory investment: negative cash flow and finance constraints due to asymmetric information. -
Market Valuation and Risk Assessment of Canadian Banks
The authors apply the asset-valuation model developed by Rabinovitch (1989) to six publicly traded Canadian banks over the period 1982–2002. -
August 24, 2004
The Efficiency of Canadian Capital Markets: Some Bank of Canada Research
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. -
August 23, 2004
The Evolution of Liquidity in the Market for Government of Canada Bonds
Using turnover ratios, Anderson and Lavoie describe the recent evolution of liquidity in various secondary government bond markets, focusing specifically on the market for Government of Canada securities. They attribute much of the recent variation in liquidity to such cyclical factors as changes in the interest rate environment and investors' appetite for risk, as well as developments in equity markets in the late 1990s. They also examine longer-term structural and policy-related trends, including the rate of adoption of financial and technological innovations and the level of government borrowing and debt-management initiatives. -
The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital
The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003. -
Uninsurable Investment Risks
The authors study a general-equilibrium economy in which agents have the ability to invest in a risky technology. -
Regulatory Changes and Financial Structure: The Case of Canada
The author documents some stylized facts about the Canadian financial structure. He explores these empirical facts in the context of Canadian financial legislation and finds that, over the 1990s, Canadian businesses became more heavily dependent on financial markets as their primary source of external funding.
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