G1 - General Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T10:34:19+00:00Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets
https://www.bankofcanada.ca/2007/04/working-paper-2007-29/
This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime on the cost of capital and the integration of emerging financial markets. Since there is evidence that a fixed exchange rate regime reduces the currency risk premia demanded by foreign investors, the tentative conclusion is that a fixed exchange rate regime system can help reduce the cost of capital in emerging markets.2007-04-05T15:48:18+00:00enExchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets2007-04-05Development economicsExchange rate regimesWorking Paper 2007-29 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-29.pdfExchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging MarketsAntonio Diez de los RiosApril 2007FF3F30F33GG1G15Price Formation and Liquidity Provision in Short-Term Fixed Income Markets
https://www.bankofcanada.ca/2007/04/working-paper-2007-27/
Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient.2007-04-03T12:34:23+00:00enPrice Formation and Liquidity Provision in Short-Term Fixed Income Markets2007-04-03Financial marketsInterest ratesMarket structure and pricingWorking Paper 2007-27 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-27.pdfPrice Formation and Liquidity Provision in Short-Term Fixed Income MarketsChris D'SouzaIngrid LoStephen SappApril 2007GG1G12G14G15Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures
https://www.bankofcanada.ca/2007/04/working-paper-2007-25/
We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs.2007-04-01T12:13:03+00:00enManaging Adverse Dependence for Portfolios of Collateral in Financial Infrastructures2007-04-01Econometric and statistical methodsFinancial marketsFinancial stabilityWorking Paper 2007-25 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-25.pdfManaging Adverse Dependence for Portfolios of Collateral in Financial InfrastructuresAlejandro GarcíaRamazan GençayApril 2007CC1C10GG0G00G1G10