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379
result(s)
An Index of Financial Stress for Canada
Staff Working Paper 2003-14
Mark Illing,
Ying Liu
The authors develop an index of financial stress for the Canadian financial system. Stress is defined as the force exerted on economic agents by uncertainty and changing expectations of loss in financial markets and institutions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
E,
E5,
G,
G1,
G10
Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?
Staff Working Paper 2003-6
Michael R. King,
Dan Segal
The authors examine how the valuation multiples assigned to the equity of Canadian-listed firms compare with the equity of comparable firms listed in the United States. They find that Canadian-listed firms trade at a discount to U.S.-listed firms across a range of valuation measures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G15
Shift Contagion in Asset Markets
Staff Working Paper 2003-5
Toni Gravelle,
Maral Kichian,
James Morley
The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movement between markets during high-variance episodes are considered: larger common shocks operating through standard market linkages, and a structural change in the propagation of shocks between markets, called "shift contagion."
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C3,
C32,
F,
F4,
F42,
G,
G1,
G15
Are Distorted Beliefs Too Good to be True?
Staff Working Paper 2003-4
Miroslav Misina
In a recent attempt to account for the equity-premium puzzle within a representative-agent model, Cecchetti, Lam, and Mark (2000) relax the assumption of rational expectations and in its place use the assumption of distorted beliefs. The author shows that the explanatory power of the distorted beliefs model is due to an inconsistency in the model and that an attempt to remove this inconsistency removes the model's explanatory power.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets
JEL Code(s):
D,
D8,
D84,
G,
G1,
G12
December 20, 2002
Transparency and the Response of Interest Rates to the Publication of Macroeconomic Data
The benefits of transparency—the outcome of the measures taken by the central bank to allow financial markets and economic agents to understand the factors it takes into account in formulating monetary policy—are now widely recognized. These benefits include smoother implementation of monetary policy and increased effectiveness as markets improve their ability to anticipate the Bank's policy decisions and account for them in their operations. How interest rates respond to the publication of macroeconomic data depends on the degree of transparency in monetary policy, as the rates will rise or fall as a reflection of the market's revised expectations. Before the Bank of Canada adopted initiatives to improve transparency, such as the inflation-control targets, the semi-annual publication of the Monetary Policy Report and Updates, and the fixed announcement dates, changes to the overnight rate created some volatility in interest rates, and publishing Canadian macroeconomic data did not appear to have a major impact on rates. This article shows how the Bank of Canada's steps towards greater transparency have increased the impact of Canadian data on short-term interest rates and have improved financial markets' understanding of how monetary policy decisions are taken.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial markets,
Interest rates,
Monetary policy and uncertainty
The Impact of Common Currencies on Financial Markets: A Literature Review and Evidence from the Euro Area
Staff Working Paper 2002-35
Liliane Karlinger
This paper reviews both the theoretical and empirical literature on the impact of common currencies on financial markets and evaluates the first three years of experience with Economic and Monetary Union (EMU).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
Financial markets
JEL Code(s):
E,
E4,
E44,
F,
F2,
F21,
F3,
F36,
G,
G1,
G15
How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?
Staff Working Paper 2002-34
Chris D'Souza
This paper examines the daily hedging and risk-management practices of financial intermediaries in the Canadian foreign exchange (FX) market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Market structure and pricing
JEL Code(s):
F,
F3,
F31,
G,
G1,
G14,
G2,
G21
Alternative Trading Systems: Does One Shoe Fit All?
Staff Working Paper 2002-33
Nicolas Audet,
Toni Gravelle,
Jing Yang
This paper examines the factors that lead liquidity-motivated investors to choose the type of market structure they prefer.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10,
G14,
G18
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
Staff Working Paper 2002-29
David Bolder,
Scott Gusba
This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices.
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