Similar Search Results

Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach

Vigfusson, R. - Bank of Canada - 1996

Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach,...

Persistent link: https://www.econbiz.de/10010611746

Fads or Bubbles?

Schaller, Huntley; Norden, Simon van - Bank of Canada - 1997

This paper tests between fads and bubbles using a new empirical strategy (based on switching-regression econometrics) for distinguishing between competing asset-pricing models. By extending the Blanchard and Watson (1982) model, we show how stochastic bubbles can lead to regime-switching in...

Persistent link: https://www.econbiz.de/10005162460

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

CoMargin

Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013

We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes market...

Persistent link: https://www.econbiz.de/10010849953

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

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

, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and … risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that …

Persistent link: https://www.econbiz.de/10005256657

Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

Feunou, Bruno; Fontaine, Jean-Sébastien; Taamouti, … - Bank of Canada - 2012

. We also consider the term structure of higher-order risks as measured by skewness and kurtosis and still find that two …

Persistent link: https://www.econbiz.de/10010548355

Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate

Garcia, Alejandro; Prokopiw, Andrei - Bank of Canada - 2010

exchange rate movements (i.e., the skewness). …

Persistent link: https://www.econbiz.de/10008631205

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

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