Asset pricing - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:58:27+00:00The Impacts of Monetary Policy Statements
https://www.bankofcanada.ca/2017/11/staff-analytical-note-2017-22/
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary policy earlier than previously expected, the Canadian dollar appreciates (or depreciates) and long-term Government of Canada bond yields increase (or decrease). The tone of a statement is particularly relevant to the market when the policy rate has been unchanged for some time.2017-11-24T09:18:40+00:00enThe Impacts of Monetary Policy Statements2017-11-24On the Tail Risk Premium in the Oil Market
https://www.bankofcanada.ca/2017/11/staff-working-paper-2017-46/
This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns.2017-11-20T07:47:32+00:00enOn the Tail Risk Premium in the Oil Market2017-11-20Asset pricingEconometric and statistical methodsFinancial marketsStaff Working Paper 2017-46https://www.bankofcanada.ca/wp-content/uploads/2017/11/swp2017-46.pdfOn the Tail Risk Premium in the Oil MarketReinhard EllwangerNovember 2017CC5C53C58DD8D84EE4E44GG1G12G13QQ4Q43