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451
result(s)
The U.S.-Dollar Supranational Zero-Coupon Curve
Staff Discussion Paper 2012-5
Francisco Rivadeneyra
The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
G,
G1,
G12,
G15
A Note on Central Counterparties in Repo Markets
Staff Discussion Paper 2012-4
Hajime Tomura
The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G24
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
Macroprudential Rules and Monetary Policy when Financial Frictions Matter
Staff Working Paper 2012-6
Jeannine Bailliu,
Césaire Meh,
Yahong Zhang
This paper examines the interaction between monetary policy and macroprudential policy and whether policy makers should respond to financial imbalances. To address this issue, we build a dynamic general equilibrium model that features financial market frictions and financial shocks as well as standard macroeconomic shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial stability,
Monetary policy framework
JEL Code(s):
E,
E4,
E42,
E5,
E50,
E6,
E60
February 23, 2012
Medium-Term Fluctuations in Canadian House Prices
This article draws on theory and empirical evidence to examine a number of factors behind movements in Canadian house prices. It begins with an overview of the movements in house prices in Canada, using regional data to highlight factors that influence prices over the long run. It then turns to the central theme, that there are medium-run movements in prices not accounted for by long-run factors. Drawing on recent Bank of Canada research, the article discusses several factors behind these medium-run movements, including interest rates, expected price appreciation and market liquidity. The article concludes by identifying areas for future research that would further our understanding of fluctuations in house prices.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Asset pricing,
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
R,
R2,
R21,
R3,
R31
Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery
Staff Working Paper 2011-30
Jonathan Chiu,
Thorsten Koeppl
We study the trading dynamics in an asset market where the quality of assets is private information of the owner and finding a counterparty takes time. When trading of a financial asset ceases in equilibrium as a response to an adverse shock to asset quality, a large player can resurrect the market by buying up lemons which involves assuming financial losses.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
E,
E6,
G,
G1
Financial Frictions, Financial Shocks and Labour Market Fluctuations in Canada
Staff Discussion Paper 2011-10
Yahong Zhang
What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) – a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions – with Canadian data for the period 1984Q2–2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
Financial markets,
Labour markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
J,
J6
Portfolio Considerations in Differentiated Product Purchases: An Application to the Japanese Automobile Market
Staff Working Paper 2011-27
Naoki Wakamori
Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms’ pricing strategies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Market structure and pricing
JEL Code(s):
D,
D4,
L,
L5,
Q,
Q5
Security Transaction Taxes and Market Quality
Staff Working Paper 2011-26
Anna Pomeranets,
Daniel G. Weaver
We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C4,
C43,
G,
G1,
G10,
G12