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Consumption, housing collateral, and the Canadian business cycle

Christensen, Ian; Corrigan, Paul; Mendicino, Caterina; … - 2009

Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle. Our findings show that the...

Persistent link: https://www.econbiz.de/10003933334

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

The effect of economic news on bond market liquidity

D'Souza, Chris; Gaa, Charles - 2004

Persistent link: https://www.econbiz.de/10002098773

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

Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective

Bolder, David; Liu, Shudan - Bank of Canada - 2007

The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy. To this end, we consider six alternative approaches. Three of these models follow from the work of Diebold and Li (2003) with a generalization in Bolder...

Persistent link: https://www.econbiz.de/10009322841

The Macroeconomic Implications of Changes in Bank Capital and Liquidity Requirements in Canada: Insights from the BoC-GEM-FIN

Resende, Carlos de; Dib, Ali; Perevalov, Nikita - Bank of Canada - 2010

and financial variables following increases in the minimum required capital and liquidity ratios. The results indicate …

Persistent link: https://www.econbiz.de/10009323067

A Stochastic Volatility Model with Conditional Skewness

Feunou, Bruno; Tedongap, Roméo - Bank of Canada - 2011

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...

Persistent link: https://www.econbiz.de/10009352264

Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery

Chiu, Jonathan; Koeppl, Thorsten V. - Bank of Canada - 2011

We study the trading dynamics in an asset market where the quality of assets is private information of the owner and finding a counterparty takes time. When trading of a financial asset ceases in equilibrium as a response to an adverse shock to asset quality, a large player can resurrect the...

Persistent link: https://www.econbiz.de/10009645285

Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules

Resende, Carlos De; Dib, Ali; Lalonde, René; … - Bank of Canada - 2013

Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant...

Persistent link: https://www.econbiz.de/10010635681

Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada

Bolder, David Jamieson; Gusba, Scott - Bank of Canada - 2002

Persistent link: https://www.econbiz.de/10005673260