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451
result(s)
The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar
Staff Working Paper 2005-21
Rasmus Fatum,
Michael R. King
The Bank of Canada is one of very few central banks that has made records of the intraday timing of its intervention operations available to researchers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
E,
E5,
E58,
F,
F3,
F31,
G,
G1,
G14,
G15
June 22, 2005
Estimating the Impact of Monetary Policy Surprises on Fixed-Income Markets
In the interest of better understanding the impact of the Bank of Canada's policy actions on bond and bill yields, Andreou assesses the impact of policy-rate announcements on short and long bonds over the period 1996 to 2004. To aid the analysis, policy actions are decomposed into expected and surprise components. He also examines whether the introduction of fixed announcement dates (FADs) has affected these results, including markets' perceptions. The main finding is that unexpected policy actions by the Bank have a significant effect on market rates at the shorter end of the yield curve, with the effect dissipating as the maturity increases. A second finding, that the impact on longer-term interest rates of a surprise action by the Bank has diminished since the introduction of the FADs, suggests that the Bank's long-term policy goals are well understood and credible.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Credibility,
Financial markets,
Monetary policy and uncertainty
Risk Perceptions and Attitudes
Staff Working Paper 2005-17
Miroslav Misina
Changes in risk perception have been used in various contexts to explain shorter-term developments in financial markets, as part of a mechanism that amplifies fluctuations in financial markets, as well as in accounts of "irrational exuberance."
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets
JEL Code(s):
D,
D8,
D81,
D84,
G,
G1,
G12
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
Staff Working Paper 2005-9
Fousseni Chabi-Yo,
René Garcia,
Eric Renault
The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G13
Determinants of Borrowing Limits on Credit Cards
Staff Working Paper 2005-7
Shubhasis Dey,
Gene Mumy
The difference between actual borrowings and borrowing limits alone generates information asymmetry in the credit card market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C3,
D,
D4,
D8,
D82
Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?
Staff Working Paper 2005-3
Michael R. King,
Maksym Padalko
The authors study the price - volume dynamics ahead of the first public announcement of a takeover for 420 Canadian firms from 1985 to 2002.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G14,
G18,
G3,
G34
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
Staff Working Paper 2005-2
Fousseni Chabi-Yo,
René Garcia,
Eric Renault
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C6,
C61,
G,
G1,
G11,
G12
December 24, 2004
Government of Canada Yield-Curve Dynamics, 1986-2003
A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Econometric and statistical methods,
Financial markets
Trade Credit and Credit Rationing in Canadian Firms
Staff Working Paper 2004-49
Rose Cunningham
Burkart and Ellingsen's (2004) model of trade credit and bank credit rationing predicts that trade credit will be used by medium-wealth and low-wealth firms to help ease bank credit rationing.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial markets
JEL Code(s):
G,
G1,
G14,
G2,
G21,
G3,
G32