G - Financial Economics

• 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