The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news.
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3
result(s)
The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market
Staff working paper 2018-35
Jeffrey Gao,
Jianjian Jin,
Jacob Thompson
This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is robust when other macro factors are controlled for.
Content Type(s):
Staff research,
Staff working papers
JEL Code(s):
D,
D5,
D53,
G,
G1,
G12,
G18,
G2,
G3,
G32
Research Theme(s):
Financial markets and funds management,
Funds management,
Market functioning
Which Model to Forecast the Target Rate?
Staff working paper 2017-60
Bruno Feunou,
Jean-Sébastien Fontaine,
Jianjian Jin
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.
Content Type(s):
Staff research,
Staff working papers
JEL Code(s):
E,
E4,
E43
Research Theme(s):
Models and tools,
Economic models,
Monetary policy,
Monetary policy framework and transmission,
Real economy and forecasting