Posts

• July 28, 1997

  Bank of Canada Releases Interim Report on Wartime Gold Transactions

  Media Relations

  The Bank of Canada today released an interim report on the results of a search for records relating to wartime gold transactions.

  Content Type(s): Press, Press releases

• Canadian Short-Term Interest Rates and the BAX Futures Market: Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets

  Staff Working Paper 1997-18 David Watt

  This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts. The results show that the most effective hedging strategy is, on average, a static strategy based on linear regression that assumes constant variances, even though dynamic models allowing for time-varying variances are found to have superior explanatory power.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43