G1 - General Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T09:32:56+00:00A Simple Method for Extracting the Probability of Default from American Put Option Prices
https://www.bankofcanada.ca/2020/04/staff-working-paper-2020-15/
A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default.2020-04-20T13:31:12+00:00enA Simple Method for Extracting the Probability of Default from American Put Option Prices2020-04-20Asset pricingFinancial marketsMarket structure and pricingStaff Working Paper 2020-15https://www.bankofcanada.ca/wp-content/uploads/2020/04/swp2020-15.pdfA Simple Method for Extracting the Probability of Default from American Put Option PricesBo Young ChangGreg OrosiApril 2020GG1G13G3G33Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields
https://www.bankofcanada.ca/2020/04/staff-working-paper-2020-14/
This equilibrium model explains the trend in long-term yields and business-cycle movements in short-term yields and yield spreads. The less-frequent inverted yield curves (and less-frequent recessions) after the 1990s are due to recent secular stagnation and procyclical inflation expectations.2020-04-16T09:34:26+00:00enLearning, Equilibrium Trend, Cycle, and Spread in Bond Yields2020-04-16Asset pricingFinancial marketsInterest ratesStaff Working Paper 2020-14https://www.bankofcanada.ca/wp-content/uploads/2020/04/swp2020-14.pdfStaff Working Paper 2020-14Guihai ZhaoApril 2020EE4E43GG0G00G1G12Interest Rate Uncertainty as a Policy Tool
https://www.bankofcanada.ca/2020/04/staff-working-paper-2020-13/
We study a novel policy tool—interest rate uncertainty—that can be used to discourage inefficient capital inflows and to adjust the composition of external account between shortterm securities and foreign direct investment (FDI).2020-04-15T15:19:52+00:00enInterest Rate Uncertainty as a Policy Tool2020-04-15International financial marketsMonetary policy and uncertaintyMonetary policy frameworkStaff Working Paper 2020-13https://www.bankofcanada.ca/wp-content/uploads/2020/04/swp2020-13.pdfStaff Working Paper 2020-13Fabio GhironiGalip Kemal OzhanApril 2020EE3E32FF2F21F3F32GG1G15Optimal Taxation in Asset Markets with Adverse Selection
https://www.bankofcanada.ca/2020/04/staff-working-paper-2020-11/
What is the optimal tax schedule in over-the-counter markets, e.g., those for corporate bonds? I find that an optimal tax schedule is often non-monotonic. For example, trading of some high-price assets should be subsidized, and trading of some low-price assets should be taxed.2020-04-06T09:36:37+00:00enOptimal Taxation in Asset Markets with Adverse Selection2020-04-06Economic modelsFinancial marketsFinancial system regulation and policiesMarket structure and pricingStaff Working Paper 2020-11https://www.bankofcanada.ca/wp-content/uploads/2020/04/swp2020-11.pdfOptimal Taxation in Asset Markets with Adverse SelectionMohammad DavoodalhosseiniApril 2020DD8D82D83EE2E24GG1G10JJ3J31J6J64