Fixed Income Markets

NOTE: The papers listed here are reproduced as submitted by their respective authors, and do not necessarily reflect the opinions or policies of the Bank of Canada. Papers submitted by persons not in the employ of the Bank of Canada may be subject to the copyright policies of the submitters' organizations and/or countries, and therefore should not be reproduced in whole or in part without the permission of the author(s). Papers are presented in the language of the authors only.

"Term Premium Dynamics and the Taylor Rule"

Presentation: Michael Gallmeyer, Burton Hollifield, Francisco Palomino, and Stanley Zin
Discussion: Angelo Melino

"Bond Supply and Excess Bond Returns"

Presentation: Robin Greenwood and Dimitri Vayanos
Discussion: Francisco Palomino

"How Arbitrage-Free is the Nelson-Siegel Model?"

Presentation: Laura Coroneo, Ken Nyholm, and Rositsa Vidova-Koleva
Discussion: Albert Lee Chun

"No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth"

Caroline Jardet, Alain Monfort, and Fulvio Pegoraro
Discussion: R. Mark Reesor

"Are Bond Premia Countercyclical?"

Monika Piazzesi, and Martin Schneider

"Information Shocks, Liquidity Shocks, Jumps, and Price Discovery—Evidence from the U.S. Treasury Market"

Presentation: George J. Jiang, Ingrid Lo, and Adrien Verdelhan
Discussion: Clifton Green

"Jump and Cojump Risk in Subprime Home Equity Derivatives"

Presentation: Bruce Mizrach
Discussion: Clara Vega

"A Black Swan in the Money Market"

Presentation: John B. Taylor and John C. Williams
Discussion: Zhenyu Wang

"Residential Mortgage Credit Derivatives"

Presentation: Jefferson Duarte and Douglas A. McManus
Discussion: Toni Gravelle

"The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks"

Presentation: Glenn D. Rudebusch and Eric T. Swanson
Discussion: Sharon Kozicki

"The Term Structure of Inflation Expectations"

Presentation: Mikhail Chernov and Philippe Mueller
Discussion: Scott Joslin

"Credit Contagion from Counterparty Risk"

Presentation: Philippe Jorion and Gaiyan Zhang
Discussion: Jun Yang

"Exploring Dynamic Default Dependence"

Presentation: Peter Christoffersen, Jan Ericsson, Kris Jacobs, and Xisong Jin
Discussion: Stuart M. Turnbull

"Price Dispersion in OTC Markets: A New Measure of Liquidity"

Presentation: Rainer Jankowitsch, Amrut Nashikkar, and Marti Subrahmanyam
Discussion: Chris D'Souza

"Liquidity and Credit Default Swap Spreads"

Presentation: Dragon Yongjun Tang and Hong Yan
Discussion: Jean-Sébastien Fontaine

 

Content Type(s): Conferences