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Predicting Financial Stress Events: A Signal Extraction Approach
Christensen, Ian; Li, Fuchun - Bank of Canada - 2014
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor...
Persistent link: https://www.econbiz.de/10010960397
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A Semiparametric Early Warning Model of Financial Stress Events
Christensen, Ian; Li, Fuchun - Bank of Canada - 2013
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with...
Persistent link: https://www.econbiz.de/10010658798
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Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
Jin, Jianjian - Bank of Canada - 2013
realistic dynamics of risk-neutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …
Persistent link: https://www.econbiz.de/10010640746
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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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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 variety of financial markets, ranging from repurchase agreements and options to swaps. However, internationally accepted standards and the academic literature have left...
Persistent link: https://www.econbiz.de/10009323064
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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
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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
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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
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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
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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