Jean-Sébastien Fontaine - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T21:35:32+00:00Which Model to Forecast the Target Rate?
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-60/
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.2017-12-20T08:33:46+00:00enWhich Model to Forecast the Target Rate?2017-12-20Financial marketsInterest ratesStaff Working Paper 2017-60https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-60.pdfWhich Model to Forecast the Target Rate?Bruno FeunouJean-Sébastien FontaineJianjian JinDecember 2017EE4E43What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-54/
We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.2017-12-08T11:32:50+00:00enWhat Drives Episodes of Settlement Fails in the Government of Canada Bond Market?2017-12-08Financial marketsMarket structure and pricingPayment clearing and settlement systemsStaff Working Paper 2017-54https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-54.pdfWhat Drives Episodes of Settlement Fails in the Government of Canada Bond Market?Jean-Sébastien FontaineJames PinningtonAdrian WaltonDecember 2017EE4GG1G2G21LL1Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
https://www.bankofcanada.ca/2017/12/staff-analytical-note-2017-23/
This analytical note evaluates the reliability of proxies for measuring liquidity in Canadian bond markets. We find that price-impact and bid-ask proxies paint a similar picture of evolving liquidity conditions to that obtained from richer measures of liquidity for benchmark Government of Canada bonds.2017-12-08T10:52:32+00:00enDo Liquidity Proxies Measure Liquidity in Canadian Bond Markets?2017-12-08