G - Financial Economics - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T15:09:25+00:00Testing Uncovered Interest Parity: A Continuous-Time Approach
https://www.bankofcanada.ca/2007/11/working-paper-2007-53/
Nowadays researchers can choose the sampling frequency of exchange rates and interest rates.2007-11-02T17:39:51+00:00enTesting Uncovered Interest Parity: A Continuous-Time Approach2007-11-02Econometric and statistical methodsExchange ratesWorking Paper 2007-53 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-53.pdfTesting Uncovered Interest Parity: A Continuous-Time ApproachAntonio Diez de los RiosEnrique SentanaNovember 2007FF3F31GG1G15Where Does Price Discovery Occur in FX Markets?
https://www.bankofcanada.ca/2007/11/working-paper-2007-52/
Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York.2007-11-01T13:00:49+00:00enWhere Does Price Discovery Occur in FX Markets?2007-11-01Exchange ratesFinancial marketsMarket structure and pricingWorking Paper 2007-52 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-52.pdfWhere Does Price Discovery Occur in FX Markets?Chris D'SouzaNovember 2007FF3F31GG1G15Rediscounting Under Aggregate Risk with Moral Hazard
https://www.bankofcanada.ca/2007/10/working-paper-2007-51/
Freeman (1999) proposes a model in which discount window lending and open market operations have different effects. This is important because in most of the literature, these policies are indistinguishable.2007-10-03T12:56:00+00:00enRediscounting Under Aggregate Risk with Moral Hazard2007-10-03Central bank researchFinancial marketsPayment clearing and settlement systemsWorking Paper 2007-51 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-51.pdfRediscounting Under Aggregate Risk with Moral HazardJames ChapmanAntoine MartinOctober 2007EE5E58GG2G20Do Firms Adjust Toward a Target Leverage Level?
https://www.bankofcanada.ca/2007/10/working-paper-2007-50/
This paper studies capital structure adjustment mechanisms of firms that experience substantial changes in leverage.2007-10-02T12:52:17+00:00enDo Firms Adjust Toward a Target Leverage Level?2007-10-02Financial marketsInternational topicsWorking Paper 2007-50 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-50.pdfDo Firms Adjust Toward a Target Leverage Level?Zhaoxia XuOctober 2007GG3G32Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective
https://www.bankofcanada.ca/2007/10/working-paper-2007-49/
The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy.2007-10-01T12:46:08+00:00enExamining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective2007-10-01Econometric and statistical methodsFinancial marketsInterest ratesWorking Paper 2007-49 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-49.pdfExamining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner’s PerspectiveDavid BolderShudan LiuOctober 2007CC0C6EE4GG1Hedge Funds and Financial Stability: The State of the Debate
https://www.bankofcanada.ca/2007/09/discussion-paper-2007-9/
The authors review the state of the debate on hedge funds and the potential threat that hedge funds pose to financial stability. The collapse of a hedge fund or a group of hedge funds might pose a systemic risk directly by damaging systematically important financial institutions, or indirectly by increasing market volatility and generating a […]2007-09-18T16:14:07+00:00enHedge Funds and Financial Stability: The State of the Debate2007-09-18Financial institutionsFinancial stabilityFinancial system regulation and policiesDiscussion Paper 2007-9https://www.bankofcanada.ca/wp-content/uploads/2010/01/dp07-9.pdfHedge Funds and Financial Stability: The State of the DebateMichael R. KingPhilipp MaierSeptember 2007GG1G15G18G2Estimating and Comparing the Implied Cost of Equity for Canadian and U.S. Firms
https://www.bankofcanada.ca/2007/09/working-paper-2007-48/
This paper estimates the implied cost of equity for Canadian and U.S. firms using a methodology based on the dividend discount model and utilizing firms' current stock price and analysts' forecasted earnings.2007-09-01T12:36:01+00:00enEstimating and Comparing the Implied Cost of Equity for Canadian and U.S. Firms2007-09-01Financial marketsInternational topicsWorking Paper 2007-48 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-48.pdfEstimating and Comparing the Implied Cost of Equity for Canadian and U.S. FirmsJonathan WitmerLorie ZornSeptember 2007GG3G30G38A Note on Contestability in the Canadian Banking Industry
https://www.bankofcanada.ca/2007/08/discussion-paper-2007-7/
The authors examine the degree of contestability in the Canadian banking system using the H-statistic proposed by Panzar and Rosse (1987) and modified by Bikker, Spierdijk, and Finnie (2006). A modification is necessary because the standard approach of controlling for size using total assets leads to an upward bias in the H-statistic. The authors propose […]2007-08-13T16:11:00+00:00enA Note on Contestability in the Canadian Banking Industry2007-08-13Financial institutionsDiscussion Paper 2007-7https://www.bankofcanada.ca/wp-content/uploads/2010/01/dp07-7.pdfA Note on Contestability in the Canadian Banking IndustryJason AllenYing LiuAugust 2007GG2G21LL1L11Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
https://www.bankofcanada.ca/2007/08/working-paper-2007-47/
Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices.2007-08-07T11:40:55+00:00enImplications of Asymmetry Risk for Portfolio Analysis and Asset Pricing2007-08-07Financial marketsMarket structure and pricingWorking Paper 2007-47 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-47.pdfImplications of Asymmetry Risk for Portfolio Analysis and Asset PricingFousseni Chabi-YoDietmar LeisenEric RenaultAugust 2007CC5C52DD5D58GG1G11G12Cyclical Behavior of Debt and Equity Using a Panel of Canadian Firms
https://www.bankofcanada.ca/2007/08/working-paper-2007-44/
We document the cyclical behavior of debt, equity, and retained earnings for different firm categories using firm-level Canadian data.2007-08-03T11:16:09+00:00enCyclical Behavior of Debt and Equity Using a Panel of Canadian Firms2007-08-03Business fluctuations and cyclesWorking Paper 2007-44 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-44.pdfCyclical Behavior of Debt and Equity Using a Panel of Canadian FirmsFrancisco CovasWouter den HaanAugust 2007EE3E32GG3G32