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Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices
Dufour, Jean-Marie; Tessier, David - Bank of Canada - 2006
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Their interest lies in the fact that the dynamics of asset prices can provide key insights--in terms of information--for the conduct of monetary policy, since asset prices...
Persistent link: https://www.econbiz.de/10005162529
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Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Gungor, Sermin; Luger, Richard - Bank of Canada - 2013
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10010667177
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Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Gungor, Sermin; Luger, Richard - Bank of Canada - 2010
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...
Persistent link: https://www.econbiz.de/10008765828
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Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Gungor, Sermin; Luger, Richard - Bank of Canada - 2014
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. A direct test of the joint null hypothesis may not be possible with standard methods when the total number of...
Persistent link: https://www.econbiz.de/10011071652
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Which Parametric Model for Conditional Skewness?
Feunou, Bruno; Jahan-Parvar, Mohammad R.; Tedongap, Roméo - Bank of Canada - 2013
This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We find...
Persistent link: https://www.econbiz.de/10010691939
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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
default swap index tranches, and a structural model applied to the spread on U.S. corporate bond indexes. The authors find …
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
of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …
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
Expected returns vary when investors face time-varying investment opportunities. Longrun risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician. We show that, for both classes of...
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
-ask spreads, trading volumes, and realized volatility in the markets but there remains much unexplained. …
Persistent link: https://www.econbiz.de/10005808284