Change theme
Change theme

Browse research

Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.

Receive notification by email whenever new research is added to the website.

Contains

Authors

Content Types

JEL Codes

Topics

Published After

Published Before

1770 result(s)

Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds

Staff Working Paper 2007-5 Natasha Khan
This study examines the impact of increased transparency, brought about by the introduction of three electronic trading systems, on the brokered interdealer market for Government of Canada benchmark securities. Using the CanPX dataset for the 2-, 5-, 10-, and 30-year benchmarks, the paper finds some evidence of decreased bid-ask spreads for the 30-year benchmark in the months following the introduction of the electronic platforms.

Price Discovery in Canadian Government Bond Futures and Spot Markets

Staff Working Paper 2007-4 Christopher Chung, Bryan Campbell, Scott Hendry
In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process.

Time-Consistent Control in Non-Linear Models

Staff Working Paper 2007-3 Steve Ambler, Florian Pelgrin
We show how to use optimal control theory to derive optimal time-consistent Markov-perfect government policies in nonlinear dynamic general equilibrium models, extending the result of Cohen and Michel (1988) for models with quadratic objective functions and linear dynamics. We replace private agents' costates by flexible functions of current states in the government's maximization problem.
Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy, Monetary policy framework JEL Code(s): C, C6, C63, E, E6, E61, E62

Housing Market Cycles and Duration Dependence in the United States and Canada

Staff Working Paper 2007-2 Rose Cunningham, Ilan Kolet
Housing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at the aggregate level and city level for the United States and Canada.

How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables

Staff Working Paper 2007-1 John Galbraith, Greg Tkacz
For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables.

Canadian City Housing Prices and Urban Market Segmentation

Staff Working Paper 2006-49 Jason Allen, Robert Amano, David Byrne, Allan Gregory
The authors provide a detailed empirical analysis of Canadian city housing prices. They examine the long-run relationship between city house prices in Canada from 1981 to 2005 as well as idiosyncratic relations between city prices and city-specific variables.
Content Type(s): Staff research, Staff working papers Topic(s): Regional economic developments JEL Code(s): C, C2, C22, C3, C32, R, R2
Go To Page