Asset pricing - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:55:09+00:00Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
https://www.bankofcanada.ca/2012/12/working-paper-2012-41/
Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions and they do not distinguish between dates with and without scheduled announcements.2012-12-18T16:32:04+00:00enEstimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy2012-12-18Asset pricingFinancial marketsInterest ratesWorking Paper 2012-41https://www.bankofcanada.ca/wp-content/uploads/2012/12/wp2012-41.pdfEstimating the Policy Rule from Money Market Rates when Target Rate Changes Are LumpyJean-Sébastien FontaineDecember 2012EE4E43E44E47GG1G12G13Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
https://www.bankofcanada.ca/2012/11/working-paper-2012-37/
We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity.2012-11-14T15:35:41+00:00enForecasting Inflation and the Inflation Risk Premiums Using Nominal Yields2012-11-14Asset pricingEconometric and statistical methodsInflation and pricesInterest ratesWorking Paper 2012-37https://www.bankofcanada.ca/wp-content/uploads/2012/11/wp2012-37.pdfForecasting Inflation and the Inflation Risk Premiums Using Nominal YieldsBruno FeunouJean-Sébastien FontaineNovember 2012EE4E43E47GG1G12The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
https://www.bankofcanada.ca/2012/10/working-paper-2012-34/
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added.2012-10-03T11:54:33+00:00enThe Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation2012-10-03Asset pricingEconometric and statistical methodsWorking Paper 2012-34https://www.bankofcanada.ca/wp-content/uploads/2012/10/wp2012-34.pdfThe Economic Value of Realized Volatility: Using High-Frequency Returns for Option ValuationPeter ChristoffersenBruno FeunouKris JacobsNour MeddahiOctober 2012GG1G13Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads
https://www.bankofcanada.ca/2012/08/working-paper-2012-27/
We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of credit spreads. Our model allows for time variation and lumpiness in the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity raises the costs of financing.2012-08-27T11:03:38+00:00enSystematic Risk, Debt Maturity and the Term Structure of Credit Spreads2012-08-27Asset pricingDebt managementWorking Paper 2012-27https://www.bankofcanada.ca/wp-content/uploads/2012/08/wp2012-27.pdfSystematic Risk, Debt Maturity and the Term Structure of Credit SpreadsHui ChenYu XuJun YangAugust 2012GG3G32G33Global Risk Premiums and the Transmission of Monetary Policy
https://www.bankofcanada.ca/wp-content/uploads/2012/08/boc-review-summer12-bauer.pdf
An important channel in the transmission of monetary policy is the relationship between the short-term policy rate and long-term interest rates. Using a new term-structure model, the authors show that the variation in long-term interest rates over time consists of two components: one representing investor expectations of future policy rates, and another reflecting a term-structure risk premium that compensates investors for holding a risky asset. The time variation in the term-structure risk premium is countercyclical and largely determined by global macroeconomic conditions. As a result, long-term rates are pushed up during recessions and down during times of expansion. This is an important phenomenon that central banks need to take into account when using short-term rates as a policy tool.2012-08-16T08:44:56+00:00enGlobal Risk Premiums and the Transmission of Monetary Policy2012-08-16The U.S.-Dollar Supranational Zero-Coupon Curve
https://www.bankofcanada.ca/2012/06/discussion-paper-2012-5/
The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model.2012-06-06T08:34:50+00:00enThe U.S.-Dollar Supranational Zero-Coupon Curve2012-06-06Asset pricingFinancial marketsDiscussion Paper 2012-5https://www.bankofcanada.ca/wp-content/uploads/2012/06/dp2012-05.pdfThe U.S.-Dollar Supranational Zero-Coupon CurveFrancisco RivadeneyraJune 2012GG1G12G15House Price Dynamics: Fundamentals and Expectations
https://www.bankofcanada.ca/2012/04/working-paper-2012-12/
We investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United States.2012-04-30T11:45:47+00:00enHouse Price Dynamics: Fundamentals and Expectations2012-04-30Asset pricingDomestic demand and componentsEconomic modelsWorking Paper 2012-12https://www.bankofcanada.ca/wp-content/uploads/2012/04/wp2012-12.pdfHouse Price Dynamics: Fundamentals and ExpectationsEleonora GranzieraSharon KozickiApril 2012EE3E6E65RR2R21Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
https://www.bankofcanada.ca/2012/04/working-paper-2012-11/
Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician.2012-04-03T14:43:45+00:00enRisk Premium, Variance Premium and the Maturity Structure of Uncertainty2012-04-03Asset pricingFinancial servicesWorking Paper 2012-11https://www.bankofcanada.ca/wp-content/uploads/2012/04/wp2012-11.pdfRisk Premium, Variance Premium and the Maturity Structure of UncertaintyBruno FeunouJean-Sébastien FontaineAbderrahim TaamoutiRoméo TedongapMarch 2012GG1G12G13Central Bank Communication or the Media’s Interpretation: What Moves Markets?
https://www.bankofcanada.ca/2012/02/working-paper-2012-9/
The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market.2012-02-28T15:17:50+00:00enCentral Bank Communication or the Media’s Interpretation: What Moves Markets?2012-02-28Asset pricingFinancial marketsWorking Paper 2012-09https://www.bankofcanada.ca/wp-content/uploads/2012/02/wp2012-09.pdfCentral Bank Communication or the Media’s Interpretation: What Moves Markets?Scott HendryFebruary 2012EE5E58GG1G14Medium-Term Fluctuations in Canadian House Prices
https://www.bankofcanada.ca/wp-content/uploads/2012/02/boc-review-winter11-12-peterson.pdf
This article draws on theory and empirical evidence to examine a number of factors behind movements in Canadian house prices. It begins with an overview of the movements in house prices in Canada, using regional data to highlight factors that influence prices over the long run. It then turns to the central theme, that there are medium-run movements in prices not accounted for by long-run factors. Drawing on recent Bank of Canada research, the article discusses several factors behind these medium-run movements, including interest rates, expected price appreciation and market liquidity. The article concludes by identifying areas for future research that would further our understanding of fluctuations in house prices.2012-02-23T10:05:48+00:00enMedium-Term Fluctuations in Canadian House Prices2012-02-23