December 20, 2002
Financial markets
-
-
The Impact of Common Currencies on Financial Markets: A Literature Review and Evidence from the Euro Area
This paper reviews both the theoretical and empirical literature on the impact of common currencies on financial markets and evaluates the first three years of experience with Economic and Monetary Union (EMU). -
How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?
This paper examines the daily hedging and risk-management practices of financial intermediaries in the Canadian foreign exchange (FX) market. -
Alternative Trading Systems: Does One Shoe Fit All?
This paper examines the factors that lead liquidity-motivated investors to choose the type of market structure they prefer. -
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices. -
Financial Structure and Economic Growth: A Non-Technical Survey
There is a large body of literature that studies the relationship between financial structure (that is, the degree to which the financial system is either market- or intermediary-based) and long-run economic growth. -
A Market Microstructure Analysis of Foreign Exchange Intervention in Canada
This paper clarifies the role and the impact of foreign exchange dealers in the relationship between foreign exchange intervention and nominal exchange rates using a unique dataset that disaggregates trades by dealer and by type of trade. -
Corporate Bond Spreads and the Business Cycle
This paper examines the predictive power of credit spreads from the corporate bond market. The high-yield bond spread and investment-grade spread can explain 68 per cent and 42 per cent of output variations one year ahead, while the term spread based on government debts can explain only 12 per cent of them. -
Modelling Financial Instability: A Survey of the Literature
The magnitude and frequency of recent financial crises underscore the importance of understanding financial instability for the purpose of crisis prevention and crisis management. -
Risk, Entropy, and the Transformation of Distributions
The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion.