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The Monetary Origins of Asymmetric Information in International Equity Markets

Bauer, Gregory H.; Vega, Clara - Bank of Canada - 2004

Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. Those studies, however, do not account for the presence of asymmetric information, where sophisticated investors generate private information about the...

Persistent link: https://www.econbiz.de/10005808373

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - Bank of Canada - 2004

The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions are that (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both...

Persistent link: https://www.econbiz.de/10005162420

It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match

Ehrmann, Michael; Jansen, David-Jan - Bank of Canada - 2014

The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...

Persistent link: https://www.econbiz.de/10010762049

Price Formation and Liquidity Provision in Short-Term Fixed Income Markets

D'Souza, Chris; Lo, Ingrid; Sapp, Stephen - Bank of Canada - 2007

Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. The...

Persistent link: https://www.econbiz.de/10005673334

Bond liquidity premia

Fontaine, Jean-Sébastien; Garcia, René - 2009

. We measure the value of funding liquidity from the cross-section of on-the-run premia by adding a liquidity factor to an … arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An … increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on …

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

Exchange risk premiums, real interest rate differentials, and ex ante purchasing power parity

Longworth, David J. - 1986

Persistent link: https://www.econbiz.de/10000868698

Database of Sovereign Defaults, 2015 (Revised May 2015)

Beers, David; Nadeau, Jean-Sébastien - Bank of Canada - 2014

Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of...

Persistent link: https://www.econbiz.de/10011265712

The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar

King, Michael R.; Fatum, Rasmus - Bank of Canada - 2005

The Bank of Canada is one of very few central banks that has made records of the intraday timing of its intervention operations available to researchers. The authors investigate the effectiveness of sterilized intervention in the Canadian dollar exchange rate market over the period January 1995...

Persistent link: https://www.econbiz.de/10005162510

An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks

Bauer, Gregory H.; Rios, Antonio Diez de los - Bank of Canada - 2012

We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate. We show that it is important to impose restrictions (including global asset pricing, carry...

Persistent link: https://www.econbiz.de/10009493657

The U.S.-Dollar Supranational Zero-Coupon Curve

Rivadeneyra, Francisco - Bank of Canada - 2012

The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a cross-section of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model. Results show...

Persistent link: https://www.econbiz.de/10010551096

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