G1 - General Financial Markets

• Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

  Staff Working Paper 2012-11 Bruno Feunou, Jean-Sébastien Fontaine, Abderrahim Taamouti, Roméo Tedongap

  Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial services JEL Code(s): G, G1, G12, G13

• Central Bank Communication or the Media’s Interpretation: What Moves Markets?

  Staff Working Paper 2012-9 Scott Hendry

  The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets JEL Code(s): E, E5, E58, G, G1, G14

• An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks

  Staff Working Paper 2012-5 Gregory Bauer, Antonio Diez de los Rios

  We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15