November 11, 2008
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385
result(s)
The Role of Foreign Exchange Dealers in Providing Overnight Liquidity
Staff Working Paper 2008-44
Chris D'Souza
This paper illustrates that dealers in foreign exchange markets not only provide intraday liquidity, they are key participants in the provision of overnight liquidity. Dealing institutions receive compensation for holding undesired inventory balances in part from the information they receive in customer trades.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets,
Market structure and pricing
JEL Code(s):
D,
D8,
D82,
F,
F3,
F31,
G,
G2,
G21
Macroeconomic Determinants of the Term Structure of Corporate Spreads
Staff Working Paper 2008-29
Jun Yang
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E44,
G,
G1,
G12
The Implementation of Monetary Policy in Canada
Staff Discussion Paper 2008-9
Walter Engert,
Toni Gravelle,
Donna Howard
The authors present a detailed discussion of the Bank of Canada's framework for the implementation of monetary policy. As background, they provide a brief overview of the financial system in Canada, including a discussion of the financial services industry and the money market.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Monetary policy implementation,
Payment clearing and settlement systems
JEL Code(s):
E,
E5,
E52,
E58,
G,
G2,
G21
Information Shocks, Jumps, and Price Discovery - Evidence from the U.S. Treasury Market
Staff Working Paper 2008-22
George Jiang,
Ingrid Lo,
Adrien Verdelhan
We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
The Cost of Equity in Canada: An International Comparison
Staff Working Paper 2008-21
Jonathan Witmer
This paper calculates an implied cost of equity for 19 developed countries from 1991 to 2006. During this period, there has been a decline in the cost of equity of about 10-15 bps per year, which can be partially attributed to declining government yields and declining inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G30,
G38
June 19, 2008
China's Integration into the Global Financial System
Despite having the world's largest GDP when measured in terms of purchasing-power parities, the third-largest share in world exports, and the world's largest foreign exchange reserves, China has only a minor role in the global financial system. Its banks have a modest international presence; China's currency, the renminbi, is virtually not used outside the country; and Chinese capital markets are not a significant source of financing for foreign borrowers. China's modest level of integration into the global financial system is explained by the emphasis given to domestic policy priorities. As the Chinese economy matures, and as reforms strengthen the domestic financial system, China will become more important in global financial markets. Changes are already occurring as China's financial might is being channeled towards overseas investments, and the authorities have committed to greater exchange rate flexibility. These changes will facilitate integration into the global financial system. In this article, the authors describe the current situation and speculate on the future evolution of Chinese financial institutions and markets.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rate regimes,
Financial markets,
International topics
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
Staff Working Paper 2008-16
Fousseni Chabi-Yo,
Eric Ghysels,
Eric Renault
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C5,
C52,
D,
D5,
D58,
G,
G1,
G11,
G12
An Examination of Canadian Firms Delisting from U.S. Exchanges
Staff Working Paper 2008-11
Jonathan Witmer
This paper examines Canadian and other foreign firms that have been involuntarily delisted from major U.S. exchanges. I find that, for most countries, less than 10% of firms get delisted from a U.S. exchange during my sample period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G30,
G38
March 17, 2008
Price Discovery Across Geographic Locations in the Foreign Exchange Market
The ongoing process of price discovery in foreign exchange markets provides valuable information to certain market participants. Recent empirical findings suggest that aggregate measures of order flow convey information about the fundamental value of the exchange rate. Using a market microstructure approach, D'Souza reports on a two-year study of completed transactions within the Canadian and Australian exchange rate markets to examine the relationship between exchange rate returns and trades initiated in different locations. Based on the information content of the trades, he finds that geographic location and hours of operation are two of the factors driving informed interdealer trading.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rates,
Financial markets,
Market structure and pricing