G1 - General Financial Markets

• International Equity Flows and Returns: A Quantitative Equilibrium Approach

  Staff Working Paper 2004-42 Rui Albuquerque, Martin Schneider, Gregory Bauer

  The authors model trading by foreign and domestic investors in developed-country equity markets.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics, Market structure and pricing JEL Code(s): F, F3, F30, G, G1, G12, G14, G15

• Finance Constraints and Inventory Investment: Empirical Tests with Panel Data

  Staff Working Paper 2004-38 Rose Cunningham

  The author empirically tests two aspects of the interaction between financial variables and inventory investment: negative cash flow and finance constraints due to asymmetric information.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial institutions JEL Code(s): E, E2, E22, G, G1, G14

• Market Valuation and Risk Assessment of Canadian Banks

  Staff Working Paper 2004-34 Ying Liu, Mingwei Yuan, Eli Papakirykos

  The authors apply the asset-valuation model developed by Rabinovitch (1989) to six publicly traded Canadian banks over the period 1982–2002.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G1, G12, G2, G21

• Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital

  Staff Working Paper 2004-20 Joseph Atta-Mensah

  The author suggests that commodity-linked bonds could provide a potential means for less-developed countries (LDCs) to raise money on the international capital markets, rather than through standard forms of financing.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics, Financial markets, International topics JEL Code(s): F, F3, F30, F34, F4, F49, G, G1, G11, G13, O, O1, O16

• International Cross-Listing and the Bonding Hypothesis

  Staff Working Paper 2004-17 Michael R. King, Dan Segal

  The authors describe a new view of cross-listing that links the impact on firm valuation to the firm's ability to develop an active secondary market for its shares in the U.S. markets.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G1, G12, G15

• The Effects of Economic News on Bond Market Liquidity

  Staff Working Paper 2004-16 Chris D'Souza, Charles Gaa

  The authors contrast the impact of two sources of information flow on the volatility of prices, trading activity, and liquidity in the brokered interdealer market for Government of Canada bonds.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Financial markets, Market structure and pricing JEL Code(s): G, G1, G14

• The Demand for Money in a Stochastic Environment

  Staff Working Paper 2004-7 Joseph Atta-Mensah

  The author re-examines the demand-for-money theory in an intertemporal optimization model. The demand for real money balances is derived to be a function of real income and the rates of return of all financial assets traded in the economy.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary aggregates JEL Code(s): E, E4, E41, E5, E50, G, G1, G11

• An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds

  Staff Working Paper 2003-28 Chris D'Souza, Charles Gaa, Jing Yang

  The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G14

• Measuring Interest Rate Expectations in Canada

  Staff Working Paper 2003-26 Grahame Johnson

  Financial market expectations regarding future policy actions by the Bank of Canada are an important input into the Bank's decision-making process, and they can be measured using a variety of sources. The author develops a simple expectations-based model to focus on measuring interest rate expectations that are implied by the current level of money market yields.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates JEL Code(s): G, G1

• Income Trusts - Understanding the Issues

  Staff Working Paper 2003-25 Michael R. King

  An income trust is an investment vehicle that distributes cash generated by a set of operating assets in a tax-efficient manner. The market capitalization of income trusts has grown rapidly over the past two years, reaching $45 billion at year-end 2002.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G12, G3