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79 Results

An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds

Staff Working Paper 2003-28 Chris D'Souza, Charles Gaa, Jing Yang
The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size.

Financial Structure and Economic Growth: A Non-Technical Survey

Staff Working Paper 2002-24 Veronika Dolar, Césaire Meh
There is a large body of literature that studies the relationship between financial structure (that is, the degree to which the financial system is either market- or intermediary-based) and long-run economic growth.

A Market Microstructure Analysis of Foreign Exchange Intervention in Canada

Staff Working Paper 2002-16 Chris D'Souza
This paper clarifies the role and the impact of foreign exchange dealers in the relationship between foreign exchange intervention and nominal exchange rates using a unique dataset that disaggregates trades by dealer and by type of trade.

The Information Content of Interest Rate Futures Options

Staff Working Paper 1999-15 Des Mc Manus
Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several […]
Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): G, G1, G14

Greater Transparency in Monetary Policy: Impact on Financial Markets

Technical Report No. 86 Philippe Muller, Mark Zelmer
Measures have been taken by the Bank of Canada to increase the transparency of Canadian monetary policy. This paper examines whether the greater transparency has improved financial markets' understanding of the conduct of monetary policy.

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

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
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