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385
result(s)
It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
Staff Working Paper 2014-2
Michael Ehrmann,
David-Jan Jansen
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
G,
G0,
G02,
G1,
G12,
G14,
G15
Regime Switches in the Risk-Return Trade-Off
Staff Working Paper 2013-51
Eric Ghysels,
Pierre Guérin,
Massimiliano Marcellino
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
G,
G1,
G10,
G12
A Distributional Approach to Realized Volatility
Staff Working Paper 2013-49
Selma Chaker,
Nour Meddahi
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58
Volatility Forecasting when the Noise Variance Is Time-Varying
Staff Working Paper 2013-48
Selma Chaker,
Nour Meddahi
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58
CoMargin
Staff Working Paper 2013-47
Jorge Cruz Lopez,
Jeffrey H. Harris,
Christophe Hurlin,
Christophe Pérignon
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G13
November 14, 2013
Fragmentation in Canadian Equity Markets
Changes in technology and regulation have resulted in an increasing number of trading venues in equity markets in Canada. New trading platforms have intensified price competition and have encouraged innovation, and they do not appear to have segmented trade. But the increasingly complex market structure has necessitated investments in expensive technology and has introduced new operational risks. Regulatory responses should be carefully adapted to retain the competition and innovation associated with this market fragmentation.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial institutions,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G2,
L,
L1,
L13,
N,
N2,
N22
Public/Private Transitions and Firm Financing
Staff Working Paper 2013-36
Kim Huynh,
Teodora Paligorova,
Robert Petrunia
A large body of empirical literature investigates differences in financing structures across firms. Private firms’ financing receives little attention due to the lack of data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial markets
JEL Code(s):
G,
G3,
G30,
L,
L1,
L11
Volatility and Liquidity Costs
Staff Working Paper 2013-29
Selma Chaker
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58,
G,
G2,
G20
Money Market Rates and Retail Interest Regulation in China: The Disconnect between Interbank and Retail Credit Conditions
Staff Working Paper 2013-20
Nathan Porter,
TengTeng Xu
Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and deposit rates), reflecting China’s gradual process of interest rate liberalization.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Econometric and statistical methods,
Financial markets,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
C,
C2,
C22,
E,
E4,
E43,
E5,
E52,
E58