G - Financial Economics

• Affine Term-Structure Models: Theory and Implementation

  Staff Working Paper 2001-15 David Bolder

  Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the affine class a natural introductory point for modelling interest rate dynamics.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Econometric and statistical methods, Interest rates JEL Code(s): C, C0, C5, G, G0

• The Future Prospects for National Financial Markets and Trading Centres

  Staff Working Paper 2001-10 Charles Gaa, Stephen Lumpkin, Robert Ogrodnick, Peter Thurlow

  This paper investigates the effects of the continuation of globalization and technological developments on the future of national-level financial markets and trading centres, particularly in smaller countries such as Canada. We foresee the development of a single global market in the most-liquid assets based on equity-market linkages.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G10