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2378
result(s)
Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
Staff Working Paper 2017-55
Bruno Feunou,
Cédric Okou
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
G,
G1,
G12
What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?
Staff Working Paper 2017-54
Jean-Sébastien Fontaine,
James Pinnington,
Adrian Walton
We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
G,
G1,
G2,
G21,
L,
L1
Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
Staff Analytical Note 2017-23
Jean-Sébastien Fontaine,
Jeffrey Gao,
Jabir Sandhu,
Kobe Wu
This analytical note evaluates the reliability of proxies for measuring liquidity in Canadian bond markets. We find that price-impact and bid-ask proxies paint a similar picture of evolving liquidity conditions to that obtained from richer measures of liquidity for benchmark Government of Canada bonds.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Debt management,
Financial markets
JEL Code(s):
G,
G1,
G12,
G14,
G2,
G23,
G3,
G32
Competing Currencies in the Laboratory
Staff Working Paper 2017-53
Janet Hua Jiang,
Cathy Zhang
We investigate competition between two intrinsically worthless currencies as a result of decentralized interactions between human subjects. We design a laboratory experiment based on a simple two-country, two-currency search model to study factors that affect circulation patterns and equilibrium selection.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Digital currencies and fintech
JEL Code(s):
C,
C9,
C92,
D,
D8,
D83,
E,
E4,
E40
Good Volatility, Bad Volatility and Option Pricing
Staff Working Paper 2017-52
Bruno Feunou,
Cédric Okou
Advances in variance analysis permit the splitting of the total quadratic variation of a
jump diffusion process into upside and downside components. Recent studies establish
that this decomposition enhances volatility predictions, and highlight the
upside/downside variance spread as a driver of the asymmetry in stock price
distributions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
G,
G1,
G12
Central Bank Digital Currency: Motivations and Implications
Staff Discussion Paper 2017-16
Walter Engert,
Ben Fung
The emergence of digital currencies such as Bitcoin and the underlying blockchain and distribution ledger technology have attracted significant attention. These developments have raised the possibility of considerable impacts on the financial system and perhaps the wider economy.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E41,
E42,
E5
November 28, 2017
Shoring Up the Foundations for a More Resilient Banking System: The Development of Basel III
The authors trace the development of the Basel III standards for banking regulation. Basel III builds on two earlier frameworks, in response to weaknesses revealed during the global financial crisis. They highlight how implementation of the standards will underpin greater financial stability and provide a sound foundation for economic growth.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G2,
G21,
G28
November 28, 2017
Analysis of Household Vulnerabilities Using Loan-Level Mortgage Data
This report examines detailed data on home mortgages to provide a better understanding of the vulnerabilities associated with the mortgage market. The proportion of low-ratio mortgages is growing, particularly in regions with strong house price growth. Moreover, these borrowers exhibit less flexibility to adverse shocks, since they have high debt levels relative to income and have taken mortgages with long amortization periods.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Credit and credit aggregates,
Recent economic and financial developments,
Sectoral balance sheet
JEL Code(s):
D,
D1,
D12,
D14,
G,
G2,
G21,
G28
The Impacts of Monetary Policy Statements
Staff Analytical Note 2017-22
Bruno Feunou,
Corey Garriott,
James Kyeong,
Raisa Leiderman
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary policy earlier than previously expected, the Canadian dollar appreciates (or depreciates) and long-term Government of Canada bond yields increase (or decrease). The tone of a statement is particularly relevant to the market when the policy rate has been unchanged for some time.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Exchange rates,
Interest rates,
Monetary policy communications,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
E5,
E52,
F,
F3,
F31,
G,
G1,
G12