Financial markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T10:48:49+00:00Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
https://www.bankofcanada.ca/2010/12/working-paper-2010-36/
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.2010-12-22T11:16:11+00:00enTesting Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach2010-12-22Econometric and statistical methodsFinancial marketsWorking Paper 2010-36https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-36.pdfTesting Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free ApproachSermin GungorRichard LugerDecember 2010CC1C12C14C3C33GG1G11G12Bank Competition and International Financial Integration: Evidence Using a New Index
https://www.bankofcanada.ca/2010/12/working-paper-2010-35/
This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band.2010-12-20T12:02:08+00:00enBank Competition and International Financial Integration: Evidence Using a New Index2010-12-20Econometric and statistical methodsFinancial marketsInternational topicsWorking Paper 2010-35https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-35.pdfBank Competition and International Financial Integration: Evidence Using a New IndexGurnain PasrichaDecember 2010FF3F32GG1G15G2G21Adverse Selection, Liquidity, and Market Breakdown
https://www.bankofcanada.ca/2010/12/working-paper-2010-32/
This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Even a small amount of adverse selection in the asset market can lead to fire-sale pricing and possibly to a market breakdown if it is accompanied by a flight-to-liquidity, a misassessment of systemic risk, or uncertainty about asset values.2010-12-13T15:02:52+00:00enAdverse Selection, Liquidity, and Market Breakdown2010-12-13Financial institutionsFinancial marketsFinancial stabilityAdverse Selection, Liquidity, and Market Breakdownhttps://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-32.pdfAdverse Selection, Liquidity, and Market BreakdownKoralai KirabaevaDecember 2010DD8D82GG0G01G1G11Text Mining and the Information Content of Bank of Canada Communications
https://www.bankofcanada.ca/2010/11/working-paper-2010-31/
This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period.2010-11-29T09:36:45+00:00enText Mining and the Information Content of Bank of Canada Communications2010-11-29Financial marketsMonetary policy implementationWorking Paper 2010-31https://www.bankofcanada.ca/wp-content/uploads/2010/11/wp10-31.pdfText Mining and the Information Content of Bank of Canada CommunicationsScott HendryAlison MadeleyNovember 2010EE5E58GG1G14Trends in Issuance: Underlying Factors and Implications
https://www.bankofcanada.ca/wp-content/uploads/2010/11/witmer.pdf
Trends in debt issuance have changed significantly over the past decade, both prior to the financial crisis and subsequently.2010-11-18T08:15:59+00:00enTrends in Issuance: Underlying Factors and Implications2010-11-18Capital Requirement and Financial Frictions in Banking: Macroeconomic Implications
https://www.bankofcanada.ca/2010/10/working-paper-2010-26/
The author develops a dynamic stochastic general-equilibrium model with an active banking sector, a financial accelerator, and financial frictions in the interbank and bank capital markets.2010-10-29T09:22:08+00:00enCapital Requirement and Financial Frictions in Banking: Macroeconomic Implications2010-10-29Business fluctuations and cyclesEconomic modelsFinancial marketsFinancial stabilityWorking Paper 2010-26https://www.bankofcanada.ca/wp-content/uploads/2010/10/wp10-26.pdfCapital Requirement and Financial Frictions in Banking: Macroeconomic ImplicationsAli DibOctober 2010EE3E32E4E44GG1An Assessment of the Bank of Canada's Term PRA Facility
https://www.bankofcanada.ca/2010/08/working-paper-2010-20/
This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread.2010-08-03T11:53:00+00:00enAn Assessment of the Bank of Canada's Term PRA Facility2010-08-03Financial marketsFinancial stabilityWorking Paper 2010-20https://www.bankofcanada.ca/wp-content/uploads/2010/08/wp10-20.pdfAn Assessment of the Bank of Canada's Term PRA FacilityEmanuella EnenajorAlex SebastianJonathan WitmerJuly 2010EE5E58GG1G12G18International Capital Flows and Bond Risk Premia
https://www.bankofcanada.ca/2010/06/working-paper-2010-14/
This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008.2010-06-10T14:42:30+00:00enInternational Capital Flows and Bond Risk Premia2010-06-10Financial marketsWorking Paper 2010-14https://www.bankofcanada.ca/wp-content/uploads/2010/06/wp10-14.pdfInternational Capital Flows and Bond Risk PremiaJesus SierraJune 2010CC2C22FF3F31F32F34GG1G11G12G15Idiosyncratic Coskewness and Equity Return Anomalies
https://www.bankofcanada.ca/2010/05/working-paper-2010-11/
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.2010-05-20T14:53:53+00:00enIdiosyncratic Coskewness and Equity Return Anomalies2010-05-20Economic modelsFinancial marketsWorking Paper 2010-11https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp10-11.pdfIdiosyncratic Coskewness and Equity Return AnomaliesFousseni Chabi-YoJun YangMay 2010GG1G11G12G14G3G33Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate
https://www.bankofcanada.ca/2010/03/discussion-paper-2010-2/
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods.2010-03-19T00:00:06+00:00enMarket Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate2010-03-19Econometric and statistical methodsExchange ratesFinancial marketsDiscussion paper 2010-2https://www.bankofcanada.ca/wp-content/uploads/2010/05/dp10-2.pdfMarket Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate Alejandro GarcĂaAndrei ProkopiwMarch 2010CC0C00C02GG1G13