Similar Search Results

Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization

Côté, Denise; Graham, Christopher - Bank of Canada - 2004

Since the early 1980s, long-term government bond yields in the euro zone have declined, in line with those in other industrialized countries. In this paper, the authors examine the monetary and fiscal policies adopted by European countries on the path to Economic and Monetary Union (EMU), and...

Persistent link: https://www.econbiz.de/10005162403

Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy

Fontaine, Jean-Sébastien - Bank of Canada - 2012

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...

Persistent link: https://www.econbiz.de/10010598589

The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach

Garcia, René; Luger, Richard - Bank of Canada - 2005

The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression description of key macroeconomic dynamics and links them to those of the term structure, where identifying restrictions are based...

Persistent link: https://www.econbiz.de/10005673296

Macroeconomic Determinants of the Term Structure of Corporate Spreads

Yang, Jun - Bank of Canada - 2008

We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia. Corporate bonds are priced in a reduced-form credit risk model...

Persistent link: https://www.econbiz.de/10005673354

The Impact of Common Currencies on Financial Markets: A Literature Review and Evidence from the Euro Area

Karlinger, Liliane - Bank of Canada - 2002

Persistent link: https://www.econbiz.de/10005220960

Bond liquidity premia

Fontaine, Jean-Sébastien; Garcia, René - 2009

Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other...

Persistent link: https://www.econbiz.de/10003933337

Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns

Aizenman, Joshua; Pasricha, Gurnain - Bank of Canada - 2013

In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in recent decades. Liberalization of capital outflow controls can allow emerging-market economies (EMEs) to reduce net capital inflow (NKI) pressures, but may...

Persistent link: https://www.econbiz.de/10010849944

The Neutral Rate of Interest in Canada

Mendes, Rhys R. - Bank of Canada - 2014

A measure of the neutral policy interest rate can be used to gauge the stance of monetary policy. We define the neutral rate as the real policy rate consistent with output at its potential level and inflation equal to target after the effects of all cyclical shocks have dissipated. This is a...

Persistent link: https://www.econbiz.de/10010960403

An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks

Bauer, Gregory H.; Rios, Antonio Diez de los - Bank of Canada - 2012

We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate. We show that it is important to impose restrictions (including global asset pricing, carry...

Persistent link: https://www.econbiz.de/10009493657

Money Market Rates and Retail Interest Regulation in China: The Disconnect between Interbank and Retail Credit Conditions

Porter, Nathan; Xu, TengTeng - Bank of Canada - 2013

Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields …), and regulated interest rates (retail lending and deposit rates), reflecting China’s gradual process of interest rate … liberalization. This paper investigates the main drivers of China’s interbank rates by developing a stylized theoretical model of …

Persistent link: https://www.econbiz.de/10010670841

1
2
3
4
5
6
7
8
9
10
Next
Last