G12 - Asset Pricing; Trading volume; Bond Interest Rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:24:33+00:00High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
https://www.bankofcanada.ca/2014/12/working-paper-2014-56/
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency.2014-12-12T11:10:12+00:00enHigh-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market2014-12-12Financial marketsWorking Paper 2014-56https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-56.pdfHigh-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury MarketGeorge JiangIngrid LoGiorgio ValenteDecember 2014GG1G10G12G14Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
https://www.bankofcanada.ca/2014/11/working-paper-2014-51/
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.2014-11-19T11:56:03+00:00enBootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings2014-11-19Asset pricingEconometric and statistical methodsFinancial marketsWorking Paper 2014-51https://www.bankofcanada.ca/wp-content/uploads/2014/11/wp2014-51.pdfBootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio GroupingsSermin GungorRichard LugerNovember 2014CC1C12C14C15GG1G12What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
https://www.bankofcanada.ca/2014/09/working-paper-2014-42/
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.2014-09-09T07:55:42+00:00enWhat Does the Convenience Yield Curve Tell Us about the Crude Oil Market?2014-09-09Asset pricingInternational topicsWorking Paper 2014-42https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-42.pdfWhat Does the Convenience Yield Curve Tell Us about the Crude Oil Market?Ron AlquistGregory BauerAntonio Diez de los RiosSeptember 2014CC5C53GG1G12G13QQ4Q43The Canadian Dollar as a Reserve Currency
https://www.bankofcanada.ca/wp-content/uploads/2014/05/boc-review-spring14-pomorski.pdf
This article provides an overview of the growth of Canadian-dollar-denominated assets in official foreign reserves. Based on International Monetary Fund data and on internal Bank of Canada analysis, we estimate that the total reserve holdings of Canadian-dollar assets increased from negligible levels before 2008 to around US$200 billion in the third quarter of 2013. We discuss the determinants of this increase, as well as its potential impact on Canadian debt markets, for example, lower yields and therefore reduced financing costs for the Government of Canada, and the possible negative impact on market liquidity.2014-05-13T10:00:06+00:00enThe Canadian Dollar as a Reserve Currency2014-05-13Bond Risk Premia and Gaussian Term Structure Models
https://www.bankofcanada.ca/2014/04/working-paper-2014-13/
Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns.2014-04-17T09:25:35+00:00enBond Risk Premia and Gaussian Term Structure Models2014-04-17Asset pricingInterest ratesWorking Paper 2014-13https://www.bankofcanada.ca/wp-content/uploads/2014/04/wp2014-13.pdfBond Risk Premia and Gaussian Term Structure ModelsBruno FeunouJean-Sébastien FontaineApril 2014EE4E43E47GG1G12Corporate Governance, Product Market Competition and Debt Financing
https://www.bankofcanada.ca/2014/02/working-paper-2014-5/
This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries.2014-02-06T07:29:02+00:00enCorporate Governance, Product Market Competition and Debt Financing2014-02-06Financial marketsWorking Paper 2014-5https://www.bankofcanada.ca/wp-content/uploads/2014/02/wp2014-5.pdfCorporate Governance, Product Market Competition and Debt FinancingTeodora PaligorovaJun YangFebruary 2014GG1G12G3G34It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
https://www.bankofcanada.ca/2014/01/working-paper-2014-2/
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold.2014-01-23T13:56:53+00:00enIt Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match2014-01-23Asset pricingFinancial marketsWorking Paper 2014-2https://www.bankofcanada.ca/wp-content/uploads/2014/01/wp2014-2.pdfIt Hurts (Stock Prices) When Your Team Is About to Lose a Soccer MatchMichael EhrmannDavid-Jan JansenJanuary 2014GG0G02G1G12G14G15