Posts

• May 11, 1998

  The use of forward rate agreements in Canada

  Bank of Canada Review - Spring 1998 Jean-Yves Paquette, David Stréliski

  In this article, the authors identify forward rate agreements, or FRAs, as short-term interest rate guarantee instruments negotiated by two parties, one of which is typically a bank. In outlining the main features of FRAs, the authors contrast them with BAX contracts (futures contracts on bankers' acceptances that are negotiated through the Montreal Exchange). The article then describes how market participants use FRAs to cover short-term interest rate risk. The final section deals with the way the Bank of Canada uses information from the FRA market as an indicator of interest rate expectations. Econometric models used to retrieve information from FRA rates, as well as the underlying assumptions, are discussed in an appendix.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial markets, Monetary and financial indicators
• May 1, 1998

  Information in Financial Asset Prices

  Proceedings of a conference held by the Bank of Canada, May 1998 (proceedings volume, available in electronic format only)

  Content Type(s): Conferences and workshops