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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...
Persistent link: https://www.econbiz.de/10003933233
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Regime Switches in the Risk-Return Trade-Off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - Bank of Canada - 2013
first regime characterized by low ex-post returns and high volatility, the risk-return relation is reversed, whereas the …
Persistent link: https://www.econbiz.de/10010849950
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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
that the convenience yield curve is well explained by a level and a slope factor. Consistent with the theory of storage …
Persistent link: https://www.econbiz.de/10010960394
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On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
Chabi-Yo, Fousseni; Ghysels, Eric; Renault, Eric - Bank of Canada - 2008
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...
Persistent link: https://www.econbiz.de/10005220952
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Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - Bank of Canada - 2009
conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …
Persistent link: https://www.econbiz.de/10005256657
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The Role of Financial Speculation in Driving the Price of Crude Oil
Alquist, Ron; Gervais, Olivier - Bank of Canada - 2011
Over the past 10 years, financial firms have increased the size of their positions in the oil futures market. At the same time, oil prices have increased dramatically. The conjunction of these developments has led some observers to argue that financial speculation caused the run-up in oil...
Persistent link: https://www.econbiz.de/10009323062
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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 …
Persistent link: https://www.econbiz.de/10009352264
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A Model of the EFA Liabilities
Rivadeneyra, Francisco; Dissou, Oumar - Bank of Canada - 2011
The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet. The model chooses the mix of liabilities across instruments and tenors...
Persistent link: https://www.econbiz.de/10009395393
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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
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Security Transaction Taxes and Market Quality
Pomeranets, Anna; Weaver, Daniel G. - Bank of Canada - 2011
to theories of STT imposition as a means to reduce volatility, we find no consistent relationship between the level of an … STT and volatility. We examine the propensity of traders to switch trading locations to avoid the tax and find no …
Persistent link: https://www.econbiz.de/10009368871