Information in Financial Asset Prices - 1998 Conference

Proceedings of a conference held by the Bank of Canada, May 1998

Introduction
Kevin Clinton and Mark Zelmer

1. Extracting Information for Monetary Policy Strategy

Asset Pricing in Consumption Models: A Survey of the Literature
Benoît Carmichael

Discussion: Maral Kichian

Discussion: Jason Wei

General Discussion

Extraction of Expected Inflation from Canadian Forward Rates
Joseph Atta-Mensah and Mingwei Yuan

Discussion: Arturo Estrella

Discussion: Angelo Melino

General Discussion

Yield and Inflation Differentials between Canada and the United States
Ben Fung and Eli Remolona

Discussion: Nicola Anderson

Discussion: Mark Flood

General Discussion

Central Bank Policy, Inflation, and Stock Prices
Ronald Giammarino

Discussion: William Barker

Discussion: Jacques Lussier

General Discussion

2. Extracting Information for Monetary Policy Implementation

Towards a New Measure of Interest Rate Expectations in Canada: Estimating a Time-Varying Term Premium
Toni Gravelle, Philippe Muller, and David Stréliski

Discussion: Mark Chandler

Discussion: Alan White

General Discussion

The Information Content of Canadian Dollar Futures Options
Alexander Levin, Des Mc Manus, and David Watt

Discussion: Glen Donaldson

Discussion: Michael Narayan

General Discussion

Confidence Intervals and Constant-Maturity Series for Probability Measures Extracted from Options Prices
William Melick and Charles Thomas

Discussion: Jerry Hanweck

Discussion: Richard Black

General Discussion

Pitfalls and Opportunities for the Conduct of Monetary Policy in a World of High-Frequency Data
Pierre Siklos

Discussion: Lloyd Atkinson

Discussion: John Murray

General Discussion

3. Wrap-Up

Wrap-Up Discussion: Charles Freedman

Wrap-Up Discussion: Frank Milne

Response and General Discussion

The Participants

List of participants

Bank topic index: Monetary and Financial Indicators