Jeffrey H. Harris - Latest - Bank of Canada
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2024-03-29T15:45:43+00:00
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Speculators, Prices and Market Volatility
https://www.bankofcanada.ca/2015/11/staff-working-paper-2015-42/
We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets.
2015-11-20T05:00:12+00:00
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Speculators, Prices and Market Volatility
2015-11-20
International topics
Recent economic and financial developments
Staff Working Paper 2015-42
https://www.bankofcanada.ca/wp-content/uploads/2015/11/wp2015-42.pdf
Speculators, Prices and Market Volatility
Celso Brunetti
Bahattin Buyuksahin
Jeffrey H. Harris
November 2015
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CoMargin
https://www.bankofcanada.ca/2013/12/working-paper-2013-47/
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.
2013-12-20T10:09:24+00:00
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CoMargin
2013-12-20
Econometric and statistical methods
Financial institutions
Financial markets
Financial stability
Working Paper 2013-47
https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-47.pdf
CoMargin
Jorge Cruz Lopez
Jeffrey H. Harris
Christophe Hurlin
Christophe PĂ©rignon
December 2013
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G13