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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

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

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

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

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

Default Dependence: The Equity Default Relationship

Turnbull, Stuart M.; Yang, Jun - Bank of Canada - 2008

premia. In addition, we demonstrate a linkage between the default barrier, jump intensity, and barrier volatility estimated … from our models and firm-specific variables related to default risk, such as credit ratings, equity volatility, and …

Persistent link: https://www.econbiz.de/10005808312

Modelling the Evolution of Credit Spreads in the United States

Turnbull, Stuart M.; Yang, Jun - Bank of Canada - 2004

The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries. The authors also estimate a liquidity function for each credit class and industry....

Persistent link: https://www.econbiz.de/10005808354

Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks

García, Alejandro; Prokopiw, Andrei - Bank of Canada - 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...

Persistent link: https://www.econbiz.de/10008549271

Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence

Chabi-Yo, Fousseni - Bank of Canada - 2006

The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound). The author's bound incorporates variance...

Persistent link: https://www.econbiz.de/10005162488

Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy

Fontaine, Jean-Sébastien - Bank of Canada - 2012

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...

Persistent link: https://www.econbiz.de/10010598589

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