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How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange

Alquist, Ron - Bank of Canada - 2008

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...

Persistent link: https://www.econbiz.de/10005162431

International Capital Flows and Bond Risk Premia

Sierra, Jesus - Bank of Canada - 2010

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

Persistent link: https://www.econbiz.de/10008527619

Exchange rate pass-through and monetary policy : how strong is the link?

Murchison, Stephen - 2009

this phenomenon, which has been observed for several other countries, may be due to a change in the behaviour of inflation …. Specifically, moving from a high to a low-inflation environment has reduced the expected persistence of cost changes and, by … policy has responded more aggressively to inflation deviations over the low pass-through period relative to the high pass …

Persistent link: https://www.econbiz.de/10003933342

Database of Sovereign Defaults, 2015 (Revised May 2015)

Beers, David; Nadeau, Jean-Sébastien - Bank of Canada - 2014

Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of...

Persistent link: https://www.econbiz.de/10011265712

L'endettement du Canada et ses effets sur les taux d'interet reels de long term.

Fillion, J.F. - Bank of Canada - 1996

Cette etude examine les effets de l'endettement du Canada sur les taux d'interet reels de long terme au Canada a l'aide de la methode des VECM (Vector Error Correction Model).

Persistent link: https://www.econbiz.de/10005808294

Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital

Atta-Mensah, Joseph - Bank of Canada - 2004

The author suggests that commodity-linked bonds could provide a potential means for less-developed countries (LDCs) to raise money on the international capital markets, rather than through standard forms of financing. The issue of this type of bond could provide an opportunity for...

Persistent link: https://www.econbiz.de/10005162471

IMF-Supported Adjustment Programs: Welfare Implications and the Catalytic Effect

Resende, Carlos de - Bank of Canada - 2007

The author studies the welfare implications of adjustment programs supported by the International Monetary Fund (IMF). He uses a model where an endogenous borrowing constraint, set up by international lenders who will never lend more than a debt ceiling, forces the borrowing economy to always...

Persistent link: https://www.econbiz.de/10005162515

Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?

Maier, Philipp; Vasishtha, Garima - Bank of Canada - 2008

have benefited considerably from better macroeconomic policies, including lower inflation and lower debt. Therefore, a …

Persistent link: https://www.econbiz.de/10005536848

Sovereign Default and State-Contingent Debt

Brooke, Martin; Mendes, Rhys R.; Pienkowski, Alex; … - Bank of Canada - 2013

The Latin American debt crises in the 1980s and the Asian crisis in the late 1990s both provided impetus for reforming the framework for restructuring sovereign debt. In the late 1980s, the Brady plan established the importance of substantive debt relief in addressing some crises. A decade...

Persistent link: https://www.econbiz.de/10010711950

Composition of International Capital Flows: A Survey

Kirabaeva, Koralai; Razin, Assaf - Bank of Canada - 2010

We survey several key mechanisms that explain the composition of international capital flows: foreign direct investment, foreign portfolio investment and debt flows (bank loans and bonds). In particular, we focus on the following market frictions: asymmetric information in capital markets and...

Persistent link: https://www.econbiz.de/10008764539

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