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International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - Bank of Canada - 2004

The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions are that (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both...

Persistent link: https://www.econbiz.de/10005162420

The Monetary Origins of Asymmetric Information in International Equity Markets

Bauer, Gregory H.; Vega, Clara - Bank of Canada - 2004

Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. Those studies, however, do not account for the presence of asymmetric information, where sophisticated investors generate private information about the...

Persistent link: https://www.econbiz.de/10005808373

Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets

Rios, Antonio Diez de los - Bank of Canada - 2007

This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime on the cost of capital and the integration of emerging financial markets. Since there is evidence that a fixed exchange rate...

Persistent link: https://www.econbiz.de/10005808402

Short changed? : the market's reaction to the short sale ban of 2008

Gagnon, Louis; Witmer, Jonathan - 2009

Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Among financial stocks, which were singled out by the ban...

Persistent link: https://www.econbiz.de/10003933290

Banking Crises and Contagion: Empirical Evidence

Santor, Eric - Bank of Canada - 2003

interested in predicting the onset of banking crises and assessing the likelihood of contagion during crisis events. The author … uses cross-country panel data to examine contagion across banking systems in developed and developing countries. Particular … banking crisis and the probability of banking-system contagion. The author finds that the sample choices of previous studies …

Persistent link: https://www.econbiz.de/10005808317

Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices

Witmer, Jonathan - Bank of Canada - 2012

Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs. Using...

Persistent link: https://www.econbiz.de/10010570096

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

Short Changed? The Market's Reaction to the Short Sale Ban of 2008

Gagnon, Louis; Witmer, Jonathan - Bank of Canada - 2009

Persistent link: https://www.econbiz.de/10005034245

When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises

Solomon, Raphael H. - Bank of Canada - 2004

The author develops a twin crisis model featuring multiple banks. At each bank, domestic and foreign depositors play a banking game. This game has a run and a no-run equilibrium. Bank failures drain reserves in addition to those drained when foreign agents convert domestic currency to foreign....

Persistent link: https://www.econbiz.de/10005673282

Anatomy of a Twin Crisis

Solomon, Raphael H. - Bank of Canada - 2003

The author presents a model of a twin crisis, in which foreign and domestic residents play a banking game. Both "honest" and run equilibria of the post-deposit subgame exist; some run equilibria lead to a currency crisis, as agents convert domestic currency to foreign currency. In the subgame,...

Persistent link: https://www.econbiz.de/10005536890