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8966 Results

December 14, 2017

Canadian Club Toronto - Press Conference (Webcasts)

Press Conference in Toronto on Dec. 14, 2017 - Stephen S. Poloz, the Governor of the Bank of Canada, speaks before the Canadian Club Toronto. (13:45 (ET) approx.)

December 14, 2017

Canadian Club Toronto - Speech (Webcasts)

Things keeping the Governor awake at night - Stephen S. Poloz, the Governor of the Bank of Canada, speaks before the Canadian Club Toronto. (12:40 (ET) approx.)

Bitcoin Awareness and Usage in Canada

Staff Working Paper 2017-56 Christopher Henry, Kim Huynh, Gradon Nicholls
There has been tremendous discussion of Bitcoin, digital currencies and FinTech. However, there is limited empirical evidence of Bitcoin’s adoption and usage. We propose a methodology to collect a nationally representative sample using the Bitcoin Omnibus Survey (BTCOS) to track the ubiquity and usage of Bitcoin in Canada.

Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models

Staff Working Paper 2017-55 Bruno Feunou, Cédric Okou
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework.

What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?

We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.

Jeffrey Gao

Jeffrey Gao is a Senior Analyst in the Banking and Payments Department (BAP) at the Bank of Canada.
Department(s): Financial Markets Research Field(s): Asset Pricing, Market Microstructure, Public Finance Alma Mater: Duke University
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