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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
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Short changed? : the market's reaction to the short sale ban of 2008
Gagnon, Louis; Witmer, Jonathan - 2009
Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Among financial stocks, which were singled out by the ban...
Persistent link: https://www.econbiz.de/10003933290
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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …
Persistent link: https://www.econbiz.de/10003933233
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The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ
Gravelle, Toni - Bank of Canada - 2002
Persistent link: https://www.econbiz.de/10005808316
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Alternative Trading Systems: Does One Shoe Fit All?
Audet, Nicolas; Gravelle, Toni; Yang, Jing - Bank of Canada - 2002
Persistent link: https://www.econbiz.de/10005808315
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An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds
D'Souza, Chris; Gaa, Charles; Yang, Jing - Bank of Canada - 2003
The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature …. Liquidity measures are analyzed relative to each other and across securities, and intraday patterns are identified. The authors … related to liquidity measures in some markets, which suggests that indicators such as trade frequency and trading volume …
Persistent link: https://www.econbiz.de/10005162416
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High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
Jiang, George J.; Lo, Ingrid; Valente, Giorgio - Bank of Canada - 2014
to analyze the impact of HF activities on liquidity and price efficiency. Our results show that HF activities have a … negative effect on liquidity around economic announcements: they widen spreads during the pre-announcement period and lower … depth on the order book during the post-announcement period. The negative impact on liquidity mainly derives from HF trades …
Persistent link: https://www.econbiz.de/10011097369
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Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds
Khan, Natasha - Bank of Canada - 2007
statistically different for any of the other benchmarks. Overall, there is little evidence that liquidity improved or was lowered by …
Persistent link: https://www.econbiz.de/10005673319
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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
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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