Asset pricing - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T11:54:57+00:00Tractable Term Structure Models
https://www.bankofcanada.ca/2015/12/staff-working-paper-2015-46/
We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation.2015-12-14T09:07:38+00:00enTractable Term Structure Models2015-12-14Asset pricingInterest ratesInternational financial marketsInternational topicsMonetary policy and uncertaintyMonetary policy transmissionStaff Working Paper 2015-46https://www.bankofcanada.ca/wp-content/uploads/2015/12/wp2015-46.pdfTractable Term Structure ModelsBruno FeunouJean-Sébastien FontaineAnh LeChristian LundbladDecember 2015GG1G12Prudent Preparation: The Evolution of Unconventional Monetary Policies
https://www.bankofcanada.ca/2015/12/prudent-preparation-evolution-unconventional-monetary-policies/
Governor Poloz speaks about the Bank’s updated framework for unconventional monetary policies.2015-12-08T12:34:47+00:00Prudent Preparation: The Evolution of Unconventional Monetary Policies2015-12-08Stephen S. PolozOption Valuation with Observable Volatility and Jump Dynamics
https://www.bankofcanada.ca/2015/11/working-paper-2015-39/
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.2015-11-06T12:17:44+00:00enOption Valuation with Observable Volatility and Jump Dynamics2015-11-06Asset pricingWorking Paper 2015-39https://www.bankofcanada.ca/wp-content/uploads/2015/11/wp2015-39.pdfOption Valuation with Observable Volatility and Jump DynamicsPeter ChristoffersenBruno FeunouYoontae JeonNovember 2015GG1G12Downside Variance Risk Premium
https://www.bankofcanada.ca/2015/10/working-paper-2015-36/
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.2015-10-22T10:52:04+00:00enDownside Variance Risk Premium2015-10-22Asset pricingWorking Paper 2015-36https://www.bankofcanada.ca/wp-content/uploads/2015/10/wp2015-36.pdfDownside Variance Risk PremiumBruno FeunouMohammad R. Jahan-ParvarCédric OkouOctober 2015GG1G12On the Welfare Cost of Rare Housing Disasters
https://www.bankofcanada.ca/2015/07/working-paper-2015-26/
This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks.2015-07-16T09:32:08+00:00enOn the Welfare Cost of Rare Housing Disasters2015-07-16Asset pricingEconomic modelsHousingWorking Paper 2015-26https://www.bankofcanada.ca/wp-content/uploads/2015/07/wp2015-26.pdfOn the Welfare Cost of Rare Housing DisastersShaofeng XuJuly 2015EE2E21E4E44GG1G11RR2R21Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
https://www.bankofcanada.ca/2015/06/working-paper-2015-17/
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.2015-06-05T10:44:33+00:00enTesting for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates2015-06-05Asset pricingEconometric and statistical methodsInterest ratesWorking Paper 2015-17https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-17.pdfTesting for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest RatesFuchun LiJune 2015CC1C12C14EE1E17E4E43GG1G12G2G20Liquid Markets for a Solid Economy
https://www.bankofcanada.ca/2015/05/liquid-markets-solid-economy/
Senior Deputy Governor Wilkins discusses funding and market liquidity, and announces consultations on the Bank’s market operations and emergency lending frameworks.2015-05-05T12:30:34+00:00Liquid Markets for a Solid Economy2015-05-05Carolyn A. WilkinsHousehold Stockholding Behavior During the Great Financial Crisis
https://www.bankofcanada.ca/2015/05/working-paper-2015-15/
Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash.2015-05-04T08:13:17+00:00enHousehold Stockholding Behavior During the Great Financial Crisis2015-05-04Asset pricingFinancial marketsWorking Paper 2015-15https://www.bankofcanada.ca/wp-content/uploads/2015/05/wp2015-15.pdfHousehold Stockholding Behavior During the Great Financial CrisisJie ZhouMay 2015GG0G01G1G11Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
https://www.bankofcanada.ca/2015/04/working-paper-2015-13/
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.2015-04-20T12:53:07+00:00enEuro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis2015-04-20Asset pricingFinancial marketsInterest ratesInternational financial marketsWorking Paper 2015-13https://www.bankofcanada.ca/wp-content/uploads/2015/04/wp2015-13.pdfEuro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt CrisisMichael EhrmannMarcel FratzscherApril 2015EE5FF3GG1G15Funding 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 2015EE4E43HH1H12