Fixed Income Markets
12 – 13 September 2008
NOTE: The papers listed here are reproduced as submitted by their respective authors, and do not necessarily reflect the opinions or policies of the Bank of Canada. Papers submitted by persons not in the employ of the Bank of Canada may be subject to the copyright policies of the submitters' organizations and/or countries, and therefore should not be reproduced in whole or in part without the permission of the author(s). Papers are presented in the language of the authors only.
"No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth"
Caroline Jardet, Alain Monfort, and Fulvio Pegoraro
Discussion: R. Mark Reesor
"Are Bond Premia Countercyclical?"
Monika Piazzesi, and Martin Schneider
"Information Shocks, Liquidity Shocks, Jumps, and Price Discovery—Evidence from the U.S. Treasury Market"
Presentation: George J. Jiang, Ingrid Lo, and Adrien Verdelhan
Discussion: Clifton Green
"Jump and Cojump Risk in Subprime Home Equity Derivatives"
Presentation: Bruce Mizrach
Discussion: Clara Vega
"The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks"
Presentation: Glenn D. Rudebusch and Eric T. Swanson
Discussion: Sharon Kozicki
"Price Dispersion in OTC Markets: A New Measure of Liquidity"
Presentation: Rainer Jankowitsch, Amrut Nashikkar, and Marti Subrahmanyam
Discussion: Chris D'Souza