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...

In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative...

Treating imports as intermediate inputs to domestic production, the author adopts the translog function approach to model real gross domestic income (GDI) in Canada over the 1961-2006 period. She explores the role of price ratios, such as terms of trade and the real effective exchange rate, in...

Following gains during the 1990s, Canadafs global market share of goods exports has declined markedly in recent years. In this regard, the constant market share analysis framework is used to decompose changes in Canadafs global market share into competitiveness and structural effects over the...

Canadian foreign direct investment and sales of Canadian multinational firms’ operations abroad, particularly in the manufacturing industry and in the United States, have accelerated sharply over the past decade. At the same time, although foreign demand has accelerated following the Great...

Canada has continued to lose market share in the United States since the Great Recession, beyond what our bilateral competitiveness measures (relative unit labour costs) would suggest. In this context, we have studied 31 non?energy export categories to assess their individual performance against...

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...

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...

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...

We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, 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...