March 25, 2015 Promoting Canada’s economic and financial well-being Presentation Timothy Lane Kelowna Chamber of Commerce Kelowna, British Columbia Deputy Governor Timothy Lane discusses the core responsibilities of the Bank and the economic outlook. Content Type(s): Press, Speeches and appearances, Presentations
March 20, 2015 Changes to the Bank of Canada’s role with respect to the Canadian Overnight Repo Rate Average (CORRA) Thomson Reuters Benchmark Services Limited will become the administrator, calculation agent and publication agent for the Canadian Overnight Repo Rate Average (CORRA), effective 30 March 2015. Content Type(s): Press, Market notices
March 20, 2015 Weekly Financial Statistics - 20 March 2015 Content Type(s): Publications, Historical: Weekly Financial Statistics
Sluggish Exports in Advanced Economies: How Much Is Due to Demand? Staff Discussion Paper 2015-3 Louis Morel Exports in advanced economies have been relatively sluggish since 2011, growing at a much slower pace than observed before the global financial crisis. Content Type(s): Staff research, Staff discussion papers Topic(s): International topics, Recent economic and financial developments JEL Code(s): F, F1, F4
March 19, 2015 Release of upcoming Quarterly Bond Schedule A standalone debt management strategy will be published on or before the end of March 2015, as required by the Financial Administration Act. Content Type(s): Press, Market notices
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns Staff Working Paper 2015-12 Jean-Sébastien Fontaine, René Garcia, Sermin Gungor Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets JEL Code(s): E, E4, E43, H, H1, H12
March 13, 2015 Weekly Financial Statistics - 13 March 2015 Content Type(s): Publications, Historical: Weekly Financial Statistics
March 12, 2015 Opening Statement before the House of Commons Standing Committee on Finance Opening statement Rhys R. Mendes House of Commons Standing Committee on Finance Ottawa, Ontario Rhys Mendes discusses the impact of lower oil prices on the Canadian economy, in general, and on the manufacturing industry, in particular. Content Type(s): Press, Speeches and appearances, Opening statements
Fourier Inversion Formulas for Multiple-Asset Option Pricing Staff Working Paper 2015-11 Bruno Feunou, Ernest Tafolong Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing JEL Code(s): G, G1, G12