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.
2333
result(s)
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
Staff Working Paper 2005-2
Fousseni Chabi-Yo,
René Garcia,
Eric Renault
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C6,
C61,
G,
G1,
G11,
G12
Self-Enforcing Labour Contracts and the Dynamics Puzzle
Staff Working Paper 2005-1
Christian Calmès
To properly account for the dynamics of key macroeconomic variables, researchers incorporate various internal-propagation mechanisms in their models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Labour markets
JEL Code(s):
E,
E1,
E12,
E4,
E49,
J,
J3,
J30,
J31,
J4,
J41
December 25, 2004
The Bank of Canada as Lender of Last Resort
As the ultimate provider of Canadian-dollar liquidity to the financial system, the Bank of Canada has the unique capacity to create Canadian-dollar claims on the central bank and the power to make secured loans or advances to chartered banks and other members of the Canadian Payments Association. The Bank supplies overnight credit on a routine basis through the Standing Liquidity Facility (SLF) to direct participants in the Large Value Transfer System, and Emergency Lending Assistance (ELA) to solvent deposit-taking institutions that require more substantial and prolonged credit. The authors review the policy framework that guides the Bank's lender-of-last-resort function, including the key issues, terms and conditions, and eligibility criteria associated with its SLF and ELA activities. Also discussed are foreign currency ELA, the relationship between SLF and ELA, systemic risk and Bank of Canada intervention, and the potential provision of liquidity to major clearing and settlement systems.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial stability,
Lender of last resort,
Payment clearing and settlement systems
December 24, 2004
Government of Canada Yield-Curve Dynamics, 1986-2003
A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Econometric and statistical methods,
Financial markets
December 23, 2004
A Taxonomy of Market Efficiency
Content Type(s):
Publications,
Financial System Review articles
December 23, 2004
Portrait of the Canadian Hedge Fund Industry
Content Type(s):
Publications,
Financial System Review articles
December 23, 2004
Basel II and Required Bank Capital
Content Type(s):
Publications,
Financial System Review articles