The Microstructure of Financial Derivatives Markets: Exchange-Traded versus Over-the-Counter Technical Report No. 68 Brenda González-Hermosillo In this report the author focusses on the microstructure of derivatives markets. While the primary objective is to examine derivatives markets in Canada, the author also discusses certain developments in global derivatives markets that are bound to influence the functioning and development of financial markets in a small, open economy such as Canada's. It is […] Content Type(s): Staff research, Technical reports Topic(s): Financial markets JEL Code(s): G, G1, G10
Optimum Currency Areas and Shock Asymmetry: A Comparison of Europe and the United States Staff Working Paper 1994-1 Nick Chamie, Alain DeSerres, René Lalonde Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): C, C4, C40, G, G1, G12
Tests of Market Efficiency in the One-Week When-Issued Market for Government of Canada Treasury Bills Technical Report No. 65 D. Graham Pugh This report presents different tests of market efficiency in the when- issued market for Government of Canada treasury bills and examines the effectiveness, in this market, of Bank operations over the 1986 to mid- 1992 period. The when-issued market, which is a combination of a forward and futures market, enables market participants to buy or […] Content Type(s): Staff research, Technical reports Topic(s): Financial markets JEL Code(s): G, G1, G14
The Development of Financial Derivatives Markets: The Canadian Experience Technical Report No. 62 Sean O'Connor In response to an intense demand for risk management services since the early 1980s, the over-the-counter (OTC) markets for financial derivatives in Canada have developed more vigorously than those for exchange-traded (EXT) derivative securities. This is particularly evident for interest rate derivatives. The objectives of this paper are to examine why Canadian interest rate derivatives […] Content Type(s): Staff research, Technical reports Topic(s): Financial markets JEL Code(s): G, G1, G10
Measuring the Profitability and Effectiveness of Foreign Exchange Market Intervention: Some Canadian Evidence Technical Report No. 53 John Murray, Mark Zelmer, Shane Williamson When the major industrial countries decided to move to a system of managed flexible exchange rates following the collapse of the Bretton Woods system, many observers thought that this would reduce, if not eliminate, the need for official foreign exchange market intervention. During the past fifteen years, however, intervention in most countries, including Canada, has […] Content Type(s): Staff research, Technical reports Topic(s): Exchange rates JEL Code(s): F, F3, F31, G, G1, G14
International Capital Mobility and Asset Substitutability: Some Theory and Evidence on Recent Structural Changes Technical Report No. 44 Francesco Caramazza, Kevin Clinton, Agathe Côté, David Longworth This study examines different aspects of the international integration of capital markets. In particular, it attempts to determine whether the changes in controls and regulatory policies that have occurred in the past decade have been associated with a greater degree of market integration. Content Type(s): Staff research, Technical reports Topic(s): Balance of payments and components, Financial markets JEL Code(s): F, F2, F20, G, G1, G11, G15
An Integrated Model of the Portfolio Behaviour of the Canadian Household Sector: 1968-1983 Technical Report No. 41 Stephen S. Poloz An econometric model of the portfolio behaviour of the Canadian household sector is developed to study the linkages between demands for financial assets. The theoretical basis for the model is a version of the well-known Brainard-Tobin framework, which is extended to integrate the consumption-savings and portfolio-allocation decisions. This integration allows joint estimation of the real […] Content Type(s): Staff research, Technical reports Topic(s): Economic models, Monetary policy framework JEL Code(s): G, G1, G11
The Inflation-adjusted Rate of Return on Corporate Debt and Equity: 1966-1980 Technical Report No. 39 Stuart Gilson This report has two main objectives: First, to determine whether the real tax rate on investment income has proven sensitive to inflation; second, to determine the extent to which real returns to debt and equity, based on published data, differ from those based on inflation-adjusted data. The scope of the inflationary distortion in corporate income […] Content Type(s): Staff research, Technical reports Topic(s): Interest rates JEL Code(s): E, E3, E31, G, G1, G12, G3, G30