Scott Hendry - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:55:51+00:00Price Discovery in Canadian and U.S. 10-Year Government Bond Markets
https://www.bankofcanada.ca/2007/08/working-paper-2007-43/
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx.2007-08-02T11:25:43+00:00enPrice Discovery in Canadian and U.S. 10-Year Government Bond Markets2007-08-02Financial marketsMarket structure and pricingWorking Paper 2007-43 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-43.pdfPrice Discovery in Canadian and U.S. 10-Year Government Bond MarketsBryan CampbellScott HendryAugust 2007GG1G12G13G14Uncollateralized Overnight Loans Settled in LVTS
https://www.bankofcanada.ca/2007/02/working-paper-2007-11/
Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from March 2004 to March 2006 for a total daily value of about $5 billion.2007-02-11T12:24:35+00:00enUncollateralized Overnight Loans Settled in LVTS2007-02-11Financial marketsInterest ratesWorking Paper 2007-11 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-11.pdfUncollateralized Overnight Loans Settled in LVTSScott HendryNadja KamhiFebruary 2007EE4E44E5E50GG1G12Price Discovery in Canadian Government Bond Futures and Spot Markets
https://www.bankofcanada.ca/2007/02/working-paper-2007-4/
In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds.
We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process.2007-02-04T10:56:25+00:00enPrice Discovery in Canadian Government Bond Futures and Spot Markets2007-02-04Financial marketsMarket structure and pricingWorking Paper 2007-4 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-4.pdfPrice Discovery in Canadian Government Bond Futures and Spot MarketsChristopher ChungBryan CampbellScott HendryFebruary 2007GG1G12G13G14