Asset pricing - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T13:30:38+00:00Canadian stock market since COVID‑19: Why a V-shaped price recovery?
https://www.bankofcanada.ca/2020/10/staff-analytical-note-2020-22/
Between February 19 and March 23, 2020, the Canadian stock market plunged due to the severe economic impact of COVID-19. By the end of the summer, the stock market had already recovered a significant portion of its losses, leaving many asking if investors see the economy through rose-coloured glasses. Despite these concerns, we find that current market valuations for companies on the Toronto Stock Exchange align well, on average, with the declines in earning forecasts observed since the start of the year. We also find these market valuations are consistent with the discount rate returning to its pre-pandemic level.2020-10-19T15:59:58+00:00enCanadian stock market since COVID‑19: Why a V-shaped price recovery?2020-10-19Is the stock market pricing in a V‑shaped recovery?
https://www.bankofcanada.ca/2020/07/staff-analytical-note-2020-17/
Major stock indexes have bounced back from their March 23 trough to about 10 percent below their peaks. However, stocks that are more sensitive to the business cycle have not performed as well during this market rally. This suggests that stock markets are pricing in a slower, shallower economic recovery.2020-07-29T10:00:16+00:00enIs the stock market pricing in a V‑shaped recovery?2020-07-29The Term Structures of Loss and Gain Uncertainty
https://www.bankofcanada.ca/2020/06/staff-working-paper-2020-19/
We investigate the uncertainty around stock returns at different investment horizons. Since a return is either a loss or a gain, we categorize return uncertainty into two components—loss uncertainty and gain uncertainty. We then use these components to evaluate investment.2020-06-05T10:41:44+00:00enThe Term Structures of Loss and Gain Uncertainty2020-06-05Asset pricingEconometric and statistical methodsStaff Working Paper 2020-19https://www.bankofcanada.ca/wp-content/uploads/2020/06/swp2020-19.pdfStaff Working Paper 2020-19Bruno FeunouRicardo Lopez AliouchkinRoméo TedongapLai XuJune 2020GG1G12A 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 2020EE4E43GG0G00G1G12A Portfolio-Balance Model of Inflation and Yield Curve Determination
https://www.bankofcanada.ca/2020/03/staff-working-paper-2020-6/
How does the supply of nominal government debt affect the macroeconomy? To answer this question, we propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule.2020-03-09T14:55:00+00:00enA Portfolio-Balance Model of Inflation and Yield Curve Determination2020-03-09Asset pricingDebt managementInflation and pricesInterest ratesMonetary policyStaff Working Paper 2020-6https://www.bankofcanada.ca/wp-content/uploads/2020/03/swp2020-6.pdfStaff Working Paper 2020-6Antonio Diez de los RiosMarch 2020EE4E43E5E52GG1G12HH6H63