Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T23:50:34+00:00Sluggish Exports in Advanced Economies: How Much Is Due to Demand?
https://www.bankofcanada.ca/2015/03/discussion-paper-2015-3/
Exports in advanced economies have been relatively sluggish since 2011, growing at a much slower pace than observed before the global financial crisis.2015-03-19T18:39:07+00:00enSluggish Exports in Advanced Economies: How Much Is Due to Demand?2015-03-19International topicsRecent economic and financial developmentsDiscussion Paper 2015-3https://www.bankofcanada.ca/wp-content/uploads/2015/03/dp-2015-3.pdfSluggish Exports in Advanced Economies: How Much Is Due to Demand?Louis MorelMarch 2015FF1F4Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
https://www.bankofcanada.ca/2015/03/working-paper-2015-12/
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.2015-03-19T14:57:07+00:00enFunding Liquidity, Market Liquidity and the Cross-Section of Stock Returns2015-03-19Asset pricingFinancial marketsWorking Paper 2015-12https://www.bankofcanada.ca/wp-content/uploads/2015/03/wp2015-12.pdfFunding Liquidity, Market Liquidity and the Cross-Section of Stock ReturnsJean-Sébastien FontaineRené GarciaSermin GungorMarch 2015EE4E43HH1H12Fourier Inversion Formulas for Multiple-Asset Option Pricing
https://www.bankofcanada.ca/2015/03/working-paper-2015-11/
Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices.2015-03-10T07:54:04+00:00enFourier Inversion Formulas for Multiple-Asset Option Pricing2015-03-10Asset pricingWorking Paper 2015-11https://www.bankofcanada.ca/wp-content/uploads/2015/03/wp2015-11.pdfFourier Inversion Formulas for Multiple-Asset Option PricingBruno FeunouErnest TafolongMarch 2015GG1G12Effects of Funding Portfolios on the Credit Supply of Canadian Banks
https://www.bankofcanada.ca/2015/03/working-paper-2015-10/
This paper studies how banks simultaneously manage the two sides of their balance sheet and its implications for bank risk taking and real economic activity. First, we analyze how changes in funding affect the supply of bank loans.2015-03-09T13:18:50+00:00enEffects of Funding Portfolios on the Credit Supply of Canadian Banks2015-03-09Financial institutionsFinancial stabilityFinancial system regulation and policiesMonetary policy implementationWorking Paper 2015-10https://www.bankofcanada.ca/wp-content/uploads/2015/03/wp2015-10.pdfEffects of Funding Portfolios on the Credit Supply of Canadian BanksH. Evren DamarCésaire MehYaz TerajimaMarch 2015EE5E52GG2G21