G - Financial Economics

• Buying Back Government Bonds: Mechanics and Other Considerations

  Staff Working Paper 1998-9 Toni Gravelle

  With the elimination of the federal deficit, the Bank of Canada, the Department of Finance, and financial market participants are examining ways to manage the reduction in the stock of marketable debt. This paper summarizes three different methods—reverse auction, over-the-counter purchases, and conversions—that could be used to buy back Government of Canada bonds before they […]

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

• Easing Restrictions on the Stripping and Reconstitution of Government of Canada Bonds

  Staff Working Paper 1998-8 David Bolder, Serge Boisvert

  The Department of Finance and the Bank of Canada, as its fiscal agent, work closely with financial market participants in the management of the federal government's debt program. From the government's perspective, maintaining a liquid well-functioning market in Government of Canada securities is a key factor in ensuring that debt-service costs are minimized. It is […]

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management JEL Code(s): G, G1

• The Financial Services Sector: Past Changes and Future Prospects

  Technical Report No. 82 Charles Freedman, Clyde Goodlet

  The financial services industry has been undergoing significant change in recent years. This paper analyzes some key developments affecting the industry and examines some important issues facing the industry and its regulators.

  Content Type(s): Staff research, Technical reports Topic(s): Financial services JEL Code(s): G, G2

• The Canadian Banking System

  Technical Report No. 81 Charles Freedman

  This paper examines the major changes in the Canadian banking system since the Second World War, with special attention paid to the differences between Canadian and U.S. developments over this period.

  Content Type(s): Staff research, Technical reports Topic(s): Financial institutions JEL Code(s): G, G2

• Fads or Bubbles?

  Staff Working Paper 1997-2 Huntley Schaller, Simon van Norden

  This paper tests between fads and bubbles using a new empirical strategy (based on switching-regression econometrics) for distinguishing between competing asset-pricing models. By extending the Blanchard and Watson (1982) model, we show how stochastic bubbles can lead to regime-switching in stock market returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C4, C40, G, G1, G12

• Speculative Behaviour, Regime-Switching and Stock Market Crashes

  Staff Working Paper 1996-13 Simon van Norden, Huntley Schaller

  This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C4, C40, E, E4, E44, G, G1, G12

• Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach

  Staff Working Paper 1996-1 Robert Vigfusson

  Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C4, C40, G, G1, G12

• The Electronic Purse: An Overview of Recent Developments and Policy Issues

  Technical Report No. 74 Gerald Stuber

  Futurists have been speculating about the prospects for a cashless society for many years, and such predictions became more frequent following the introduction of "smart" cards - cards containing a computer chip - in the mid-1970s.

  Content Type(s): Staff research, Technical reports Topic(s): Digital currencies and fintech, Financial institutions, Payment clearing and settlement systems, Recent economic and financial developments JEL Code(s): E, E4, E41, G, G2, G20

• The Microstructure of Financial Derivatives Markets: Exchange-Traded versus Over-the-Counter

  Technical Report No. 68 Brenda González-Hermosillo

  In this report the author focusses on the microstructure of derivatives markets. While the primary objective is to examine derivatives markets in Canada, the author also discusses certain developments in global derivatives markets that are bound to influence the functioning and development of financial markets in a small, open economy such as Canada's. It is […]

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

• Optimum Currency Areas and Shock Asymmetry: A Comparison of Europe and the United States

  Staff Working Paper 1994-1 Nick Chamie, Alain DeSerres, René Lalonde

  Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): C, C4, C40, G, G1, G12