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458
result(s)
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
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
Staff Working Paper 2004-48
David Bolder,
Adam Metzler,
Grahame Johnson
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics.
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 Monetary Origins of Asymmetric Information in International Equity Markets
Staff Working Paper 2004-47
Gregory Bauer,
Clara Vega
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics,
Market structure and pricing
JEL Code(s):
F,
F3,
F30,
G,
G1,
G12,
G14,
G15
Modelling the Evolution of Credit Spreads in the United States
Staff Working Paper 2004-45
Stuart Turnbull,
Jun Yang
The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G13