Jianjian Jin

Latest

The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market

Staff Working Paper 2018-35 Jeffrey Gao, Jianjian Jin, Jacob Thompson
This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is robust when other macro factors are controlled for.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Debt Management, Financial markets JEL Code(s): D, D5, D53, G, G1, G12, G18, G2, G3, G32

Which Model to Forecast the Target Rate?

Staff Working Paper 2017-60 Bruno Feunou, Jean-Sébastien Fontaine, Jianjian Jin
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43
May 16, 2013

Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities.

Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics

Staff Working Paper 2013-12 Jianjian Jin
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Economic models JEL Code(s): G, G1, G12, G17

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