Staff research, Publications

• November 17, 1999

  Monetary Policy Report – November 1999

  Since the May Report, the international economic environment has continued to improve. Economic activity abroad grew faster than expected, while inflation in the major economies remained subdued.

  Content Type(s): Publications, Monetary Policy Report
• November 16, 1999

  The Corporate Bond Market in Canada

  Bank of Canada Review - Autumn 1999 Martin Miville, André Bernier

  The Canadian corporate bond market has experienced a renaissance, in recent years, against a background of low inflation, reduced public borrowing, and the lowest levels of long-term interest rates in a generation. The authors examine the influences shaping the market and also compare the Canadian market with those of other countries. The increased level of activity in the market has been accompanied by the development of new products and by greater investor interest in instruments with higher returns and higher credit risk. A more dynamic Canadian corporate bond market is a welcome development since it offers borrowers an alternative source of funds, especially companies that have typically relied on the banking system and on the U.S. corporate bond market for financings involving higher levels of credit risk.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial markets
• November 16, 1999

  Bank of Canada Review - Autumn 1999

  

  Cover page

  Canadian dairy tokens

  These tokens are part of the National Currency Collection at the Bank of Canada.

  Photography by James Zagon.

  Content Type(s): Publications, Bank of Canada Review
• November 15, 1999

  Markets for Government of Canada Securities in the 1990s: Liquidity and Cross-Country Comparisons

  Bank of Canada Review - Autumn 1999 Toni Gravelle

  In this article, the author reviews the factors behind the recent evolution of liquidity in the market for Government of Canada (GoC) securities. He finds that liquidity has been supported by changes in the structure of the market, notably the introduction and increasing size of benchmark bond issues. He also notes that while the GoC bond market has generally benefited from changes in market structure, liquidity in the treasury bill market has decreased since the mid-1990s, largely because of the declining supply of these securities. This article also presents some comparisons of liquidity in the government securities markets of other industrialized countries and finds that liquidity in the Canadian market appears to compare favourably with all but the large U.S. Treasury market.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial markets

• Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model

  Staff Working Paper 1999-19 John Knight, Fuchun Li, Mingwei Yuan

  Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […]

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C14, C2, C22, G, G1, G13
• November 14, 1999

  Real Exchange Rate Indexes for the Canadian Dollar

  Bank of Canada Review - Autumn 1999 Robert Lafrance, Pierre St-Amant

  In this article, the authors explain the methodology used to construct real exchange rate (RER) indexes. They also compare and assess various Canadian RER indexes from both an empirical and conceptual standpoint. The authors conclude that both theory and empirical evidence suggest that the best RER indexes are those based on unit labour costs. They note, however, that, for practical reasons, policy-makers should also consider RER indexes based on prices when formulating monetary policy.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Exchange rates

• Estimating One-Factor Models of Short-Term Interest Rates

  Staff Working Paper 1999-18 Des Mc Manus, David Watt

  There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): C, C5, C52, G, G1, G10

• The Regulation of Central Securities Depositories and the Linkages between CSDs and Large-Value Payment Systems

  Technical Report No. 87 Charles Freedman

  This paper first describes the Bank of Canada's approach to the design of large-value clearing and settlement systems. It then examines the way the Bank has operated under the Payment Clearing and Settlement Act, passed by Parliament in July 1996.

  Content Type(s): Staff research, Technical reports Topic(s): Payment clearing and settlement systems JEL Code(s): G, G2, G20