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Motivations for Capital Controls and Their Effectiveness

Pandey, Radhika; Pasricha, Gurnain; Patnaik, Ila; Shah, Ajay - Bank of Canada - 2015

. Macroprudential concerns, measured by variables that capture systemic risk buildups, do not seem to be a factor shaping the use of …

Persistent link: https://www.econbiz.de/10011152373

Hedge Funds and Financial Stability: The State of the Debate

King, Michael R.; Maier, Philipp - Bank of Canada - 2007

stability. The collapse of a hedge fund or a group of hedge funds might pose a systemic risk directly by damaging systematically … important financial institutions, or indirectly by increasing market volatility and generating a liquidity shock in key markets … dominant players that have a complex business relationship. Therefore, while the potential for a systemic risk from the hedge …

Persistent link: https://www.econbiz.de/10005808270

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

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

Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?

King, Michael R.; Padalko, Maksym - Bank of Canada - 2005

The authors study the price--volume dynamics ahead of the first public announcement of a takeover for 420 Canadian firms from 1985 to 2002. Pre-bid price run-ups in a target firm's shares may be caused by some combination of information leakage due to illegal insider trading or market...

Persistent link: https://www.econbiz.de/10005162526

Lessons from International Central Counterparties: Benchmarking and Analysis

Lazarow, Alexandre - Bank of Canada - 2011

Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a … Clearing, Eurex Clearing and LCH.Clearnet - are considered in terms of risk management, CCP links, governance and operational … risk. …

Persistent link: https://www.econbiz.de/10009323064

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

Price Discovery in Canadian Government Bond Futures and Spot Markets

Chung, Christopher; Campbell, Bryan; Hendry, Scott - Bank of Canada - 2007

In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative...

Persistent link: https://www.econbiz.de/10005673292

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

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