December 9, 1994
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1010
result(s)
December 7, 1994
Repo, reverse repo and securities lending markets in Canada
Repurchase agreements (repos), reverse repos and securities lending markets permit a variety of institutions to conduct a broad range of financial transactions efficiently. In addition, they allow financial market participants to augment the returns on their cash holdings and securities portfolios. Canadian repo and securities lending markets have grown rapidly in recent years, following the expansion of such markets in major financial centres around the world; the volume of transactions in Canada now averages between $35 billion and $50 billion per day. The author notes that structural and regulatory changes in Canada have played important roles in promoting this growth. The vast majority of repo and securities lending transactions involve securities issued by the Government of Canada—principally Government of Canada bonds.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial markets
The Term Structure and Real Activity in Canada
Staff Working Paper 1994-3
Barry Cozier,
Greg Tkacz
This paper examines the predictive content of the term structure of interest rates for economic activity in Canada. Recent papers for the United States and other countries find that the slope of the term structure is a very good predictor of output growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates,
Monetary and financial indicators
The Microstructure of Financial Derivatives Markets: Exchange-Traded versus Over-the-Counter
Technical Report No. 68
Brenda González-Hermosillo
In this report the author focusses on the microstructure of derivatives markets. While the primary objective is to examine derivatives markets in Canada, the author also discusses certain developments in global derivatives markets that are bound to influence the functioning and development of financial markets in a small, open economy such as Canada's. It is […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10
Optimum Currency Areas and Shock Asymmetry: A Comparison of Europe and the United States
Staff Working Paper 1994-1
Nick Chamie,
Alain DeSerres,
René Lalonde
Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
C,
C4,
C40,
G,
G1,
G12
Tests of Market Efficiency in the One-Week When-Issued Market for Government of Canada Treasury Bills
Technical Report No. 65
D. Graham Pugh
This report presents different tests of market efficiency in the when- issued market for Government of Canada treasury bills and examines the effectiveness, in this market, of Bank operations over the 1986 to mid- 1992 period. The when-issued market, which is a combination of a forward and futures market, enables market participants to buy or […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G14
The Development of Financial Derivatives Markets: The Canadian Experience
Technical Report No. 62
Sean O'Connor
In response to an intense demand for risk management services since the early 1980s, the over-the-counter (OTC) markets for financial derivatives in Canada have developed more vigorously than those for exchange-traded (EXT) derivative securities. This is particularly evident for interest rate derivatives. The objectives of this paper are to examine why Canadian interest rate derivatives […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10
An Analysis of the Information Content of Alternative Credit Aggregates
Technical Report No. 49
Leslie Milton
This study evaluates the information content of 25 measures of credit with respect to three macroeconomic variables—nominal spending, real spending and prices. Initially, simple descriptive techniques are used to assess the contemporaneous and leading relationships between the credit aggregates and the three goal variables. Next, bivariate vector autoregression models are constructed by regressing each of […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Credit and credit aggregates
JEL Code(s):
E,
E5,
E51
Regulation of Financial Institutions: A Functional Analysis
Technical Report No. 45
John Chant
This study has three main objectives: First, to examine the reasons for the existence of financial institutions that simultaneously lend to one group and borrow from another; second, to analyze the reasons for the special treatment of these institutions in terms of the regulation that governs their activities; and third, to assess the types of […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial institutions
JEL Code(s):
G,
G2,
G28
International Capital Mobility and Asset Substitutability: Some Theory and Evidence on Recent Structural Changes
Technical Report No. 44
Francesco Caramazza,
Kevin Clinton,
Agathe Côté,
David Longworth
This study examines different aspects of the international integration of capital markets. In particular, it attempts to determine whether the changes in controls and regulatory policies that have occurred in the past decade have been associated with a greater degree of market integration.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Balance of payments and components,
Financial markets
JEL Code(s):
F,
F2,
F20,
G,
G1,
G11,
G15