G1 - General Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T15:27:00+00:00The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen
https://www.bankofcanada.ca/2008/01/discussion-paper-2008-2/
In this paper, the author considers whether fundamentals or other factors can explain the yen's ongoing weakness. In particular, the importance of capital outflows due to the carry trade and longer-term portfolio investment outflows, which may be delaying the adjustment of the yen, are investigated. A simple portfolio model is developed, composed of a speculative […]2008-01-21T12:33:09+00:00enThe Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen2008-01-21Exchange ratesInternational topicsRecent economic and financial developmentsDiscussion Paper 2008-2https://www.bankofcanada.ca/wp-content/uploads/2010/01/dp08-2.pdfThe Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese YenCorinne LuuJanuary 2008FF2F21F3F31F32GG1G11Default Dependence: The Equity Default Relationship
https://www.bankofcanada.ca/2008/01/working-paper-2008-1/
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier.2008-01-10T15:04:07+00:00enDefault Dependence: The Equity Default Relationship2008-01-10Econometric and statistical methodsFinancial marketsWorking Paper 2008-1 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-1.pdfDefault Dependence: The Equity Default RelationshipStuart TurnbullJun YangJanuary 2008GG1G12G13