G12 - Asset Pricing; Trading volume; Bond Interest Rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:11:13+00:00Intermediary Market Power and Capital Constraints
https://www.bankofcanada.ca/2023/10/staff-working-paper-2023-51/
We examine how intermediary capitalization affects asset prices in a framework that allows for intermediary market power. We introduce a model in which capital-constrained intermediaries buy or trade an asset in an imperfectly competitive market, and we show that weaker capital constraints lead to both higher prices and intermediary markups.2023-10-04T14:39:48+00:00enIntermediary Market Power and Capital Constraints2023-10-04Financial institutionsMarket structure and pricingStaff Working Paper 2023-51https://www.bankofcanada.ca/wp-content/uploads/2023/10/swp2023-51.pdfStaff Working Paper 2023-51Jason AllenMilena WittwerOctober 2023DD4D40D44GG1G12G18G2G20LL1L10Generalized Autoregressive Gamma Processes
https://www.bankofcanada.ca/2023/08/staff-working-paper-2023-40/
We introduce generalized autoregressive gamma (GARG) processes, a class of autoregressive and moving-average processes in which each conditional moment dynamic is driven by a different and identifiable moving average of the variable of interest. We show that using GARG processes reduces pricing errors by substantially more than using existing autoregressive gamma processes does.2023-08-02T15:32:16+00:00enGeneralized Autoregressive Gamma Processes2023-08-02Asset pricingEconometric and statistical methodsStaff Working Paper 2023-40https://www.bankofcanada.ca/wp-content/uploads/2023/08/swp2023-40.pdfGeneralized Autoregressive Gamma ProcessesBruno FeunouAugust 2023CC5C58GG1G12Do hedge funds support liquidity in the Government of Canada bond market?
https://www.bankofcanada.ca/2023/08/staff-analytical-note-2023-11/
While Government of Canada bond transactions of hedge funds are typically in the opposite direction to those of other market participants, during the peak period of market turmoil in March 2020, hedge funds sold these bonds, just as other market participants did. This shows that hedge funds can at times contribute to one-sided markets and amplify declines in market liquidity.2023-08-01T11:00:33+00:00enDo hedge funds support liquidity in the Government of Canada bond market?2023-08-01Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps
https://www.bankofcanada.ca/2023/07/staff-working-paper-2023-38/
We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms.2023-07-17T13:28:18+00:00enIs Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps2023-07-17Climate changeCredit risk managementEconometric and statistical methodsStaff Working Paper 2023-38https://www.bankofcanada.ca/wp-content/uploads/2023/07/swp2023-38.pdfIs Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default SwapsAndrea UgoliniJuan C. ReboredoJavier Ojea FerreiroJuly 2023CC2C24GG1G12G3G32QQ5Q54Estimating the Slope of the Demand Function at Auctions for Government of Canada Bonds
https://www.bankofcanada.ca/2023/06/staff-discussion-paper-2023-12/
We use bid data from Government of Canada bond auctions between 1999 and 2021 to gauge the yield sensitivity of these bonds to the issuance amount. Our new metric estimates the demand function of the bidders at each auction and offers insights into the relationship between supply and yield of government bonds.2023-06-26T13:32:39+00:00enEstimating the Slope of the Demand Function at Auctions for Government of Canada Bonds2023-06-26Debt managementInterest ratesStaff Discussion Paper 2023-12https://www.bankofcanada.ca/wp-content/uploads/2023/06/sdp2023-12.pdfEstimating the Slope of the Demand Function at Auctions for Government of Canada BondsBo Young ChangJune 2023DD4D44GG1G12Pricing Indefinitely Lived Assets: Experimental Evidence
https://www.bankofcanada.ca/2023/04/staff-working-paper-2023-25/
We study the trading of an asset with bankruptcy risk. The traded price of the asset is, on average, 40% of the expected total dividend payments. We investigate which economic models can explain the low traded price.2023-04-24T14:52:48+00:00enPricing Indefinitely Lived Assets: Experimental Evidence2023-04-24Asset pricingFinancial marketsStaff Working Paper 2023-25https://www.bankofcanada.ca/wp-content/uploads/2023/04/swp2023-25.pdfStaff Working Paper 2023-25John DuffyJanet Hua JiangHuan XieApril 2023CC9C91C92DD8D81GG1G12Learning in a Complex World: Insights from an OLG Lab Experiment
https://www.bankofcanada.ca/2023/02/staff-working-paper-2023-13/
This paper brings novel insights into group coordination and price dynamics in complex environments. We implement a chaotic overlapping-generation model in the lab and find that group coordination is always on the steady state or on the two-cycle and that behavior is non-monotonic.2023-02-21T13:34:14+00:00enLearning in a Complex World: Insights from an OLG Lab Experiment2023-02-21Business fluctuations and cyclesEconomic modelsStaff Working Paper 2023-13https://www.bankofcanada.ca/wp-content/uploads/2023/02/swp2023-13.pdfStaff Working Paper 2023-13Cars HommesStefanie J. HuberDaria MininaIsabelle SalleFebruary 2023CC6C62C68C9C91C92EE1E13E7E70GG1G12G4G41Introducing the Bank of Canada’s Market Participants Survey
https://www.bankofcanada.ca/2023/01/staff-analytical-note-2023-1/
The Market Participants Survey (MPS) gathers financial market participants’ expectations for key macroeconomic and financial variables and for monetary policy. This staff analytical note describes the MPS’s objectives and main features, its process and design, and how Bank of Canada staff use the results.2023-01-30T14:00:34+00:00enIntroducing the Bank of Canada’s Market Participants Survey2023-01-30