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381
result(s)
A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
Staff Working Paper 2007-21
Fousseni Chabi-Yo,
Jun Yang
We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries on their yield curves and the exchange rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Exchange rates,
Financial markets,
Interest rates
JEL Code(s):
E,
E1,
E12,
E4,
E43,
F,
F4,
F41,
G,
G1,
G12,
G15
Multivariate Realized Stock Market Volatility
Staff Working Paper 2007-20
Gregory Bauer,
Keith Vorkink
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C3,
C32,
C5,
C53,
G,
G1,
G14
Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
Staff Working Paper 2007-13
David Bolder,
Tiago Rubin
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Financial markets,
Fiscal policy
JEL Code(s):
C,
C0,
C1,
C14,
C15,
C5,
C51,
C52,
C6,
C61,
C65,
E,
E6,
G,
G1,
H,
H6,
H63
Uncollateralized Overnight Loans Settled in LVTS
Staff Working Paper 2007-11
Scott Hendry,
Nadja Kamhi
Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from March 2004 to March 2006 for a total daily value of about $5 billion.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E44,
E5,
E50,
G,
G1,
G12
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G10,
G14
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G13,
G14
December 18, 2006
A Summary of the Bank of Canada Conference on Fixed-Income Markets, 3–4 May 2006
The Bank of Canada's interest in fixed-income markets spans several of its functional areas of responsibility, including monetary policy, funds management, and financial system stability and efficiency. For that reason, the 2006 conference brought together top academics and central bankers from around the world to discuss leading-edge work in the field of fixed-income research. The papers and discussions cover such topics as the efficiency of fixed-income markets, price formation, the determinants of the yield curve, and volatility modelling. This article provides a short summary of each conference paper and the ensuing discussion.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Financial markets,
Interest rates
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
Staff Working Paper 2006-48
David Bolder
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates
JEL Code(s):
C,
C0,
C6,
E,
E4,
G,
G1
The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation
Staff Working Paper 2006-44
Michael R. King,
Dan Segal
The authors show that the widening of a foreign firm's U.S. investor base and the improved information environment associated with cross-listing on a U.S. exchange each have a separately identifiable effect on a firm's valuation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G1,
G12,
G15