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79 Results

Central Bank Communication or the Media’s Interpretation: What Moves Markets?

Staff Working Paper 2012-9 Scott Hendry
The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets JEL Code(s): E, E5, E58, G, G1, G14

Lessons from International Central Counterparties: Benchmarking and Analysis

Staff Discussion Paper 2011-4 Alexandre Lazarow
Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps.

Private Information Flow and Price Discovery in the U.S. Treasury Market

Staff Working Paper 2011-5 George Jiang, Ingrid Lo
Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S. Treasury securities.

Text Mining and the Information Content of Bank of Canada Communications

Staff Working Paper 2010-31 Scott Hendry, Alison Madeley
This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period.

Idiosyncratic Coskewness and Equity Return Anomalies

Staff Working Paper 2010-11 Fousseni Chabi-Yo, Jun Yang
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.
Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G11, G12, G14, G3, G33

Price Discovery in Canadian and U.S. 10-Year Government Bond Markets

Staff Working Paper 2007-43 Bryan Campbell, Scott Hendry
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx.

Price Formation and Liquidity Provision in Short-Term Fixed Income Markets

Staff Working Paper 2007-27 Chris D'Souza, Ingrid Lo, Stephen Sapp
Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient.

Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?

Staff Working Paper 2007-23 Ingrid Lo, Stephen Sapp
Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model.
Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): G, G1, G14
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