G12 - Asset Pricing; Trading volume; Bond Interest Rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T15:53:18+00:00Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-33/
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability.2017-08-10T07:38:59+00:00enOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions2017-08-10Asset pricingEconometric and statistical methodsExchange ratesInterest ratesStaff Working Paper 2017-33https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-33.pdfOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear RegressionsAntonio Diez de los RiosAugust 2017EE4E43FF3F31GG1G12G15Has Liquidity in Canadian Government Bond Markets Deteriorated?
https://www.bankofcanada.ca/2017/08/staff-analytical-note-2017-10/
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.2017-08-08T07:52:01+00:00enHas Liquidity in Canadian Government Bond Markets Deteriorated?2017-08-08