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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...
Persistent link: https://www.econbiz.de/10003933233
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What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
Alquist, Ron; Bauer, Gregory; Rios, Antonio Diez de los - Bank of Canada - 2014
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...
Persistent link: https://www.econbiz.de/10010960394
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Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - Bank of Canada - 2009
for option pricing and show that the information content of skewness leads to improved in-sample and out-of-sample pricing … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … and does not offer sufficient flexibility to match the skewness and kurtosis implicit in option data. Finally, we document …
Persistent link: https://www.econbiz.de/10005256657
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Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
Feunou, Bruno; Fontaine, Jean-Sébastien; Taamouti, … - Bank of Canada - 2012
the econometrician. We show that, for both classes of models, the term structure of risk implicit in option prices can … reveal these risk factors ex-ante. Empirically, we construct the variance term structure implied in SP500 option prices. The …
Persistent link: https://www.econbiz.de/10010548355
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Price Discovery in Canadian and U.S. 10-Year Government Bond Markets
Campbell, Bryan; Hendry, Scott - Bank of Canada - 2007
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information...
Persistent link: https://www.econbiz.de/10005808284
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Default Dependence: The Equity Default Relationship
Turnbull, Stuart M.; Yang, Jun - Bank of Canada - 2008
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...
Persistent link: https://www.econbiz.de/10005808312
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Modelling the Evolution of Credit Spreads in the United States
Turnbull, Stuart M.; Yang, Jun - Bank of Canada - 2004
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. The authors also estimate a liquidity function for each credit class and industry....
Persistent link: https://www.econbiz.de/10005808354
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Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks
García, Alejandro; Prokopiw, Andrei - Bank of Canada - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities—notably, central banks—focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of...
Persistent link: https://www.econbiz.de/10008549271
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Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
Chabi-Yo, Fousseni - Bank of Canada - 2006
author's optimally scaled bound remains a lower bound to the variance on pricing kernels, whereas the BL bound does not. The … measures. The author uses these distance measures to evaluate the performance of asset-pricing models. Some existing pricing … impact of higher moments and variance risk premia, these same pricing kernels have difficulty in explaining returns on the …
Persistent link: https://www.econbiz.de/10005162488
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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