Posts
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December 23, 2013
Deputy Governor John Murray to Retire from the Bank of Canada
The Bank of Canada announced today that Deputy Governor John Murray will retire on 30 April 2014. -
Funding Advantage and Market Discipline in the Canadian Banking Sector
We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks. -
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A Distributional Approach to Realized Volatility
This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price. -
Volatility Forecasting when the Noise Variance Is Time-Varying
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility. -
CoMargin
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. -
December 20, 2013
Results of the 20 December 2013 Term Repo Operation for Balance Sheet Management Purposes
The results of today's term repo for balance sheet management purposes operation. -
December 19, 2013
Bank of Canada Announces Details of a Term Repo for Balance Sheet Management Purposes Operation
The Bank of Canada announced today that it will conduct a Term Repo for Balance Sheet Management Purposes operation. -
Heterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree Attainment
Existing studies on the returns to college selectivity have mixed results, mainly due to the difficulty of controlling for selection into more-selective colleges based on unobserved ability.