Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
449
result(s)
Family Values: Ownership Structure, Performance and Capital Structure of Canadian Firms
Staff Working Paper 2007-40
Michael R. King,
Eric Santor
This study examines how family ownership affects the performance and capital structure of 613 Canadian firms using a panel dataset from 1998 to 2005.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G1,
G12,
G15
April 14, 2007
The Canadian Overnight Market: Recent Evolution and Structural Changes
Since 1997 when the Bank of Canada last published a review of the Canadian overnight market, several important changes have affected the market's structure and dynamics. Reid provides a current overview of the market, examining the financial instruments, market transparency and flows, and the collateralized overnight rate as it has evolved since the introduction of the Large Value Transfer System and the fixed announcement dates. Other significant influences include changes in market practices regarding risk management, the rise of securities lending, the increased demand for collateral, and the Bank of Canada's measures to reinforce the target for the overnight rate.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Market structure and pricing,
Monetary policy framework,
Monetary policy implementation
Price Formation and Liquidity Provision in Short-Term Fixed Income Markets
Staff Working Paper 2007-27
Chris D'Souza,
Ingrid Lo,
Stephen Sapp
Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G14,
G15
Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures
Staff Working Paper 2007-25
Alejandro García,
Ramazan Gençay
We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Financial stability
JEL Code(s):
C,
C1,
C10,
G,
G0,
G00,
G1,
G10
Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?
Staff Working Paper 2007-23
Ingrid Lo,
Stephen Sapp
Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
G,
G1,
G14
A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
Staff Working Paper 2007-21
Fousseni Chabi-Yo,
Jun Yang
We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries on their yield curves and the exchange rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Exchange rates,
Financial markets,
Interest rates
JEL Code(s):
E,
E1,
E12,
E4,
E43,
F,
F4,
F41,
G,
G1,
G12,
G15
Multivariate Realized Stock Market Volatility
Staff Working Paper 2007-20
Gregory Bauer,
Keith Vorkink
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C3,
C32,
C5,
C53,
G,
G1,
G14
Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
Staff Working Paper 2007-13
David Bolder,
Tiago Rubin
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Financial markets,
Fiscal policy
JEL Code(s):
C,
C0,
C1,
C14,
C15,
C5,
C51,
C52,
C6,
C61,
C65,
E,
E6,
G,
G1,
H,
H6,
H63
Uncollateralized Overnight Loans Settled in LVTS
Staff Working Paper 2007-11
Scott Hendry,
Nadja Kamhi
Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from March 2004 to March 2006 for a total daily value of about $5 billion.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E44,
E5,
E50,
G,
G1,
G12