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The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach

Garcia, René; Luger, Richard - Bank of Canada - 2005

The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression description of key macroeconomic dynamics and links them to those of the term structure, where identifying restrictions are based...

Persistent link: https://www.econbiz.de/10005673296

Macroeconomic Determinants of the Term Structure of Corporate Spreads

Yang, Jun - Bank of Canada - 2008

We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia. Corporate bonds are priced in a reduced-form credit risk model...

Persistent link: https://www.econbiz.de/10005673354

Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization

Côté, Denise; Graham, Christopher - Bank of Canada - 2004

Since the early 1980s, long-term government bond yields in the euro zone have declined, in line with those in other …, have contributed to the convergence of national long-term government bond yields in the euro zone. The authors find … of long-term government bond yields in the euro zone. More importantly, their findings suggest that the convergence of …

Persistent link: https://www.econbiz.de/10005162403

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

Uninsurable investment risks

Meh, Césaire Assah; Quadrini, Vincenzo - 2004

Persistent link: https://www.econbiz.de/10002185890

Improving Public Equity Markets? No Pain, No Gain

Kartashova, Katya - Bank of Canada - 2014

This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms. They can diversify by investing in publicly traded...

Persistent link: https://www.econbiz.de/10010960401

An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt

Xu, Shaofeng - Bank of Canada - 2013

This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005. I construct an overlapping generations general equilibrium housing model and find that these three...

Persistent link: https://www.econbiz.de/10010640465

Real effects of price stability with endogenous nominal indexation

Meh, Césaire Assah; Quadrini, Vincenzo; Terajima, Yaz - 2009

We study a model with repeated moral hazard where financial contracts are not fully indexed to inflation because nominal prices are observed with delay as in Jovanovic & Ueda (1997). More constrained firms sign contracts that are less indexed to the nominal price and, as a result, their...

Persistent link: https://www.econbiz.de/10003852858

Management by the Canadian banks of their domestic portfolios 1956-1971 : an econometric study

White, William R. - 1975

Persistent link: https://www.econbiz.de/10003005696

Bond liquidity premia

Fontaine, Jean-Sébastien; Garcia, René - 2009

Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other...

Persistent link: https://www.econbiz.de/10003933337

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