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1871
result(s)
The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada
Staff Working Paper 1999-20
Ron Lange
This paper assesses the expectations theory for the longer end of the term structure of Canadian interest rates using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis; (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates
JEL Code(s):
E,
E4,
E43
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
Staff Working Paper 1999-19
John Knight,
Fuchun Li,
Mingwei Yuan
Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C1,
C14,
C2,
C22,
G,
G1,
G13
Estimating One-Factor Models of Short-Term Interest Rates
Staff Working Paper 1999-18
Des Mc Manus,
David Watt
There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
C,
C5,
C52,
G,
G1,
G10
The Regulation of Central Securities Depositories and the Linkages between CSDs and Large-Value Payment Systems
Technical Report No. 87
Charles Freedman
This paper first describes the Bank of Canada's approach to the design of large-value clearing and settlement systems. It then examines the way the Bank has operated under the Payment Clearing and Settlement Act, passed by Parliament in July 1996.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G20
Canada's Exchange Rate Regime and North American Economic Integration: The Role of Risk-Sharing Mechanisms
Staff Working Paper 1999-17
Zahir Antia,
Ramdane Djoudad,
Pierre St-Amant
Our contribution in this paper is threefold. First, we survey the empirical literature on consumption smoothing mechanisms of regional economic shocks. Second, building on the work of Asdrubali et al. (1996), we present evidence on the role played by various smoothing mechanisms for specific economic shocks affecting Canadian provinces. Third, we assess whether smoothing mechanisms […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
Exchange rates
JEL Code(s):
F,
F3,
F33,
F36,
G,
G1,
G15
Optimal Currency Areas: A Review of the Recent Literature
Staff Working Paper 1999-16
Robert Lafrance,
Pierre St-Amant
This paper surveys the recent literature on optimal currency areas (OCAs). Topics that are covered include theoretical developments in the context of general-equilibrium models and empirical work on shocks asymmetry and adjustment mechanisms. Issues relating to the endogeneity of OCA criteria, the role of exchange rate flexibility in promoting greater macroeconomic stability, and the links […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes
JEL Code(s):
E,
E4,
E42,
F,
F3,
F33
The Information Content of Interest Rate Futures Options
Staff Working Paper 1999-15
Des Mc Manus
Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
G,
G1,
G14
The U.S. Capacity Utilization Rate: A New Estimation Approach
Staff Working Paper 1999-14
René Lalonde
The recent strengh of the U.S. economy and historically low rates of inflation have sparked considerable debate among economists and Federal Reserve officials. In order to better explain the recent behaviour of inflation, some observers have raised the concept of a non-accelerating inflation capacity utilization rate (NAICU). In this study, the author presents a new […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles
JEL Code(s):
E,
E3,
E32,
E37
Indicator Models of Core Inflation for Canada
Staff Working Paper 1999-13
Richard Dion
When there is uncertainty about estimates of the margin of unused capacity in the economy, examining a range of inflation indicators may help in assessing the balance of risks regarding the outlook for inflation. This paper tests a wide range of observable variables for their leading-indicator properties with respect to core inflation, including: commodity prices, […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices
JEL Code(s):
E,
E3,
E31,
E37