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.
458
result(s)
December 18, 2006
A Summary of the Bank of Canada Conference on Fixed-Income Markets, 3–4 May 2006
The Bank of Canada's interest in fixed-income markets spans several of its functional areas of responsibility, including monetary policy, funds management, and financial system stability and efficiency. For that reason, the 2006 conference brought together top academics and central bankers from around the world to discuss leading-edge work in the field of fixed-income research. The papers and discussions cover such topics as the efficiency of fixed-income markets, price formation, the determinants of the yield curve, and volatility modelling. This article provides a short summary of each conference paper and the ensuing discussion.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Financial markets,
Interest rates
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
Staff Working Paper 2006-48
David Bolder
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates
JEL Code(s):
C,
C0,
C6,
E,
E4,
G,
G1
The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation
Staff Working Paper 2006-44
Michael R. King,
Dan Segal
The authors show that the widening of a foreign firm's U.S. investor base and the improved information environment associated with cross-listing on a U.S. exchange each have a separately identifiable effect on a firm's valuation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G1,
G12,
G15
Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets
Staff Working Paper 2006-43
Alexander Melnikov,
Yuliya Romanyuk
The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
D,
D8,
D81,
G,
G1,
G10,
G12
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model
Staff Working Paper 2006-42
Céline Gauthier,
Fuchun Li
The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
C,
C5,
E,
E4
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
Staff Working Paper 2006-38
Fousseni Chabi-Yo
The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C6,
C61,
G,
G1,
G12,
G13
October 3, 2006
A New Effective Exchange Rate Index for the Canadian Dollar
An effective exchange rate is a measure of the value of a country's currency vis-à-vis the currencies of its most important trading partners. The Bank of Canada has created a new Canadian-dollar effective exchange rate index (CERI) to replace the C-6 index that it currently uses. The CERI uses multilateral trade weights published by the International Monetary Fund and includes the six currencies of countries or economic zones with the largest share of Canada's international trade. As such, it better reflects the recent changes in Canada's trade profile, including the rise in the importance of China and Mexico and the relative decline in importance of Europe and Japan in Canada's international trade. The author describes the methodology and construction of the new index and reviews the advantages it offers over the C-6, particularly the use of multilateral trade weights, the inclusion of trade in services, and the use of more recent trade data.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rates,
Financial markets,
Monetary and financial indicators
Credit in a Tiered Payments System
Staff Working Paper 2006-36
Alexandra Lai,
Nikil Chande,
Sean O'Connor
Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G21,
L,
L1,
L12,
L13,
L2,
L22
Multinationals and Exchange Rate Pass-Through
Staff Working Paper 2006-30
Alexandra Lai,
Oana Secrieru
The authors examine the impact of multinational enterprises (MNEs) on exchange rate pass-through in an environment where an MNE engages in Cournot (quantity) competition with domestic and foreign rivals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Exchange rates,
Market structure and pricing
JEL Code(s):
F,
F2,
F23,
L,
L1,
L16