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
Optimal Monetary Policy and Price Stability Over the Long-Run Staff Working Paper 2007-26 Oleksiy Kryvtsov, Malik Shukayev, Alexander Ueberfeldt This paper examines the role of monetary policy in an environment with aggregate risk and incomplete markets. In a two-period overlapping-generations model with aggregate uncertainty and nominal bonds, optimal monetary policy attains the ex-ante Pareto optimal allocation. Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy framework JEL Code(s): E, E5
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
March 29, 2007 The Bank of Canada Releases Its Annual Report for 2006 Media Relations Ottawa, Ontario The Bank of Canada's Annual Report for 2006 was tabled in the House of Commons today. Content Type(s): Press, Press releases
March 29, 2007 Promoting Sound Economic Policies Globally and Locally Remarks David Dodge Americas Society and the Council of the Americas New York, New York In my opinion, much of this performance can be credited to the increasingly widespread acceptance of the need for a liberalized worldwide financial and trade order. Many countries that once closed themselves to the outside world are now actively engaged in the global economy. Content Type(s): Press, Speeches and appearances, Remarks
March 29, 2007 Dodge discusses the need for sound economic policies, both globally and locally Media Relations New York, New York In a speech to the Americas Society and the Council of the Americas, Bank of Canada Governor David Dodge said today that the United States and Canada should lead the effort to strengthen institutions such as the International Monetary Fund. Content Type(s): Press, Press releases
March 22, 2007 Spring 2007 Consultations – Views Sought on the Auction Plan for Real Return Bonds A consultation document relating to the auction schedule for Real Return Bonds for the fiscal year 2007/08, prepared jointly by the Department of Finance and the Bank of Canada, is being made public today. Content Type(s): Press, Market notices
March 22, 2007 Promoting Economic Flexibility: A Shared Responsibility Presentation Paul Jenkins The Economist Business Roundtable with the Government of Canada These remarks are based on a to the Vancouver Board of Trade, 13 September 2006. Content Type(s): Press, Speeches and appearances, Presentations
March 22, 2007 Spring 2007 Consultations Document In view of the announcement in the Debt Management Strategy for 2007/08 of an increase in the issuance of Real Return Bonds (RRBs) to slightly over $2 billion, the Department of Finance and the Bank of Canada are seeking the views of institutional investors, government securities distributors, and other interested parties regarding the RRB auction plan.
March 19, 2007 Summary of Comments - 2007/08 Debt Strategy Consultations Today, a Summary of Comments on the Debt Strategy Consultations for 2007/08 is being published on the Bank's website in conjunction with the release of the government's Debt Management Strategy for 2007/08 on the Department of Finance website. Content Type(s): Press, Market notices