Publications and Research
Topic Index
Financial markets
2006
The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation
Michael R. King and Dan Segal
Working Paper 2006-44
2006
Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets
Alexander Melnikov and Yuliya Romanyuk
Working Paper 2006-43
2006
Linking Real Activity and Financial Markets:
The Bonds, Equity, and Money (BEAM) Model
Céline Gauthier and Fu Chun Li
Working Paper 2006-42
2006
Conditioning Information and Variance Bounds
on Pricing Kernels with Higher-Order Moments: Theory and Evidence
Fousseni Chabi-Yo
Working Paper 2006-38
2006
Estimation of the Default Risk of Publicly
Traded Canadian Companies
Georges Dionne, Sadok Laajimi, Sofiane Mejri, and Madalina Petrescu
Working Paper 2006-28
2006
Corporate Bond Market Transparency: Informational Efficiency, Competition, and Liquidity Concentration (PDF)
Amy K. Edwards, Mahendrarajah Nimalendran, and Michael S. Piwowar
Conference paper
2006
Price Formation and Liquidity Provision in International Bond Markets (PDF)
Ingrid Lo, Christopher D'Souza, and Stephen Sapp
Conference paper
2006
A Comparative Study of Canadian and U.S. Price Discovery In the Ten-Year Government Bond Market (PDF)
Scott Hendry and Bryan Campbell
Conference paper
2006
The Drivers and Pricing of Liquidity in Interest Rate Options Markets (PDF)
Prachi Deuskar, Anurag Gupta, and Marti G. Subrahmanyam
Conference paper
2006
Informed and Strategic Order Flow in the Bond Market (PDF)
Paolo Pasquariello and Clara Vega
Conference paper
2006
Monetary Policy Tick-by-Tick (PDF)
Michael Fleming and Monika Piazzesi
Conference paper
2006
No-Arbitrage Macroeconomic Determinants of the Yield Curve (PDF)
Ruslan Bikbov and Mikhail Chernov
Conference paper
2006
Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller? (PDF)
Jefferson Duarte, Francis Longstaff, and Fan Yu
Conference paper
2006
Can Affine Term Structure Models Help Us to Predict Exchange Rates? (PDF)
Antonio Diez de los Rios
Conference paper
2006
Estimating the Term Structure and Macro Dynamics in a Small Open Economy (PDF)
Fousseni Chabi-Yo and Jun Yang
Conference paper
2006
The Causal Effect of Mortgage Refinancing on Interest-Rate Volatility: Empirical Evidence and Theoretical Implications (PDF)
Jefferson Duarte
Conference paper
2006
Do Options Contain Information About Excess Bond Returns? (PDF)
Caio Almeida, Jeremy J. Graveline, and Scott Joslin
Conference paper
2006
Affine-Quadratic Term Structure Models – Toward the Understanding of Jumps in Interest Rates (PDF)
George J. Jiang and Shu Yan
Conference paper
2006
Can Bonds Hedge Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (PDF)
Torben G. Andersen and Luca Benzoni
Conference paper
Spring 2006
The Evolution of the Government of Canada's Debt Distribution Framework
Marc Pellerin
Bank of Canada Review article
2006
Benchmark Index of Risk Appetite
Miroslav Misina
Working Paper 2006-16
2006
A Structural Error-Correction Model
of Best Prices and Depths in the Foreign Exchange Limit Order Market
Ingrid Lo and Stephen G. Sapp
Working Paper 2006-8
Autumn 2005
What Drives Movements in Exchange Rates?
Jeannine Bailliu and Michael R. King
Bank of Canada Review article
2005
Uninsured Idiosyncratic Production Risk with Borrowing Constraints
Francisco Covas
Working Paper 2005-26
2005
A Search Model of Venture Capital,
Entrepreneurship, and Unemployment
Robin Boadway, Oana Secrieru, and Marianne Vigneault
Working Paper 2005-24
Summer 2005
Estimating the Impact of Monetary Policy Surprises on Fixed-Income Markets
Jason Andreou
Bank of Canada Review article
2005
The Effectiveness of Official Foreign
Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar
Rasmus Fatum and Michael R. King
Working Paper 2005-21
2005
Risk Perceptions and Attitudes
Miroslav Misina
Working Paper 2005-17
2005
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
Fousseni Chabi-Yo, René Garcia, and Eric Renault
Working Paper 2005-9
2005
Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?
Michael R. King and Maksym Padalko
Working Paper 2005-3
Winter 2004-2005
Government of Canada Yield-Curve Dynamics, 1986-2003
Grahame Johnson
Bank of Canada Review article
2005
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
Fousseni Chabi-Yo, René Garcia, and Eric Renault
Working Paper 2005-2
Autumn 2004
The Evolving Financial System and Public Policy: Conference Highlights and Lessons
Pierre St-Amant and Carolyn Wilkins
Bank of Canada Review article
2004
Trade Credit and Credit Rationing in Canadian Firms
Rose Cunningham
Working Paper 2004-49
2004
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
David J. Bolder, Grahame Johnson, and Adam Metzler
Working Paper 2004-48
2004
The Monetary Origins of Asymmetric Information in International Equity Markets
Gregory H. Bauer and Clara Vega
Working Paper 2004-47
2004
Modelling the Evolution of Credit Spreads in the United States
Stuart M. Turnbull and Jun Yang
Working Paper 2004-45
2004
International Equity Flows and Returns: A Quantitative Equilibrium Approach
Rui Albuquerque, Gregory H. Bauer, and MartinSchneider
Working Paper 2004-42
Summer 2004
The Efficiency of Canadian Capital Markets: Some Bank of Canada Research
Scott Hendry and Michael R. King
Bank of Canada Review article
Summer 2004
The Evolution of Liquidity in the Market for Government of Canada Bonds
Stacey Anderson and Stéphane Lavoie
Bank of Canada Review article
2004
Uninsurable Investment Risks
Césaire A. Meh and Vincenzo Quadrini
Working Paper 2004-29
2004
Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital
Joseph Atta-Mensah
Working Paper 2004-20
2004
International Cross-Listing and the Bonding Hypothesis
Michael R. King and Dan Segal
Working Paper 2004-17
2004
The Effects of Economic News on Bond Market Liquidity
Chris D'Souza and Charles Gaa
Working Paper 2004-16
2004
Public Venture Capital and Entrepreneurship
Oana Secrieru and Marianne Vigneault
Working Paper 2004-10
Winter 2003-2004
The Rationale for Cross-Border Listings
Éric Chouinard and Chris D'Souza
Bank of Canada Review article
2003
What I Learned at the Fed
Laurence H. Meyer
A Festschrift in Honour of Charles Freedman
2003
Policy Remedies for Conflicts of Interest in the Financial System
Frederic S. Mishkin
A Festschrift in Honour of Charles Freedman
Autumn 2003
An Evaluation of Fixed Announcement Dates
Nicolas Parent, Phoebe Munro, and Ron Parker
Bank of Canada Review article
2003
Governance and Financial Fragility: Evidence from a Cross-Section of Countries
Michael Francis
Working Paper 2003-34
2003
An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds
Chris D'Souza, Charles Gaa, and Jing Yang
Working Paper 2003-28
2003
Measuring Interest Rate Expectations in Canada
Grahame Johnson
Working Paper 2003-26
2003
Income Trusts—Understanding the Issues
Michael R. King
Working Paper 2003-25
2003
Essays on Financial Stability
John Chant, Alexandra Lai, Mark Illing, and Fred Daniel
Technical Report 95
2003
What Does the Risk-Appetite Index Measure?
Miroslav Misina
Working Paper 2003-23
Summer 2003
Measuring Interest Rate Expectations in Canada
Grahame Johnson
Bank of Canada Review article
Summer 2003
Financial Developments in Canada: Past Trends and Future Challenges
Charles Freedman and Walter Engert
Bank of Canada Review article
2003
The U.S. Stock Market and Fundamentals: A Historical Decomposition
David Dupuis and David Tessier
Working Paper 2003-20
2003
The Syndicated Loan Market: Developments in the North American Context
Jim Armstrong
Working Paper 2003-15
2003
An Index of Financial Stress for Canada
Mark Illing and Ying Liu
Working Paper 2003-14
2003
Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?
Michael R. King and Dan Segal
Working Paper 2003-6
2003
Shift Contagion in Asset Markets
Toni Gravelle, Maral Kichian, and James Morley
Working Paper 2003-5
2003
Are Distorted Beliefs Too Good to be True?
Miroslav Misina
Working Paper 2003-4
Winter 2002-2003
Transparency and the Response of Interest Rates to the Publication of Macroeconomic Data
Nicolas Parent
Bank of Canada Review article
2002
The Impact of Common Currencies on Financial Markets: A Literature Review and Evidence from the Euro Area
Liliane Karlinger
Working Paper 2002-35
2002
How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?
Chris D'Souza
Working Paper 2002-34
2002
Alternative Trading Systems: Does One Shoe Fit All?
Audet, Nicolas, Toni Gravelle, and Jing Yang
Working Paper 2002-33
2002
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
David Jamieson Bolder and Scott Gusba
Working Paper 2002-29
2002
Financial Structure and Economic Growth:
A Non-Technical Survey
Veronika Dolar and Césaire Meh
Working Paper 2002-24
2002
A Market Microstructure Analysis of
Foreign Exchange Intervention in Canada
Chris D'Souza
Working Paper 2002-16
2002
Corporate Bond Spreads and the Business Cycle
Zhiwei Zhang
Working Paper 2002-15
Winter 2001-2002
The Canadian Fixed-Income Market: Recent Developments and Outlook
Éric Chouinard and Zahir Lalani
Bank of Canada Review article
2002
Modelling Financial Instability: A Survey of the Literature
Alexandra Lai
Working Paper 2002-12
2002
The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ
Toni Gravelle
Working Paper 2002-9
2002
Risk, Entropy, and the Transformation of Distributions
R. Mark Reesor and Don L. McLeish
Working Paper 2002-11
2002
The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ
Toni Gravelle
Working Paper 2002-9
2002
The Effects of Bank Consolidation on Risk
Capital Allocation and Market Liquidity
Chris D'Souza and Alexandra Lai
Working Paper 2002-5
2002
Asset Allocation Using Extreme Value Theory
Younes Bensalah
Working Paper 2002-2
Summer 2001
Innovation and Competition in Canadian Equity Markets
Serge Boisvert and Charles Gaa
Bank of Canada Review article
2001
The Future Prospects for National Financial Markets and Trading Centres
Charles Gaa, Stephen Lumpkin, Robert Ogrodnik, and Peter Thurlow
Working Paper 2001-10
Winter 2000-2001
The Bank of Canada's Management of Foreign Currency Reserves
Jacobo De León
Bank of Canada Review article
2001
Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency
Toni Gravelle and Richhild Moessner
Working Paper 2001-5
2000
Credit Derivatives
John Kiff and Ron Morrow
Bank of Canada Review article
2000
Steps in Applying Extreme Value Theory to Finance: A Review
Younes Bensalah
Working Paper 2000-20
2000
A Practical Guide to Swap Curve Construction
Ron, Uri
Working Paper 2000-17
2000
Volatility Transmission Between Foreign Exchange and Money Markets
Ebrahim, Shafiq
Working Paper 2000-16
Summer 2000
Approaches to Current Stock Market Valuations
Bob Hannah
Bank of Canada Review article
2000
Modelling Risk Premiums in Equity and Foreign Exchange Markets
R. Garcia and M. Kichian
Working Paper 2000-9
Autumn 1999
The Corporate Bond Market in Canada
Martin Miville and André Bernier
Bank of Canada Review article
Autumn 1999
Markets for Government of Canada Securities in the 1990s: Liquidity and Cross-Country Comparisons
Toni Gravelle
Bank of Canada Review article
1999
Estimating One-Factor Models of Short-Term Interest Rates
D. Mc Manus and D. Watt
Working Paper 99-18
Summer 1999
Recent Initiatives in the Canadian Market for Government of Canada Securities
N. Harvey
Bank of Canada Review article
Summer 1999
Recent Developments in Global Commodity Prices: Implications for Canada
F. Novin and G. Stuber
Bank of Canada Review article
Spring 1999
Open outcry and electronic trading in futures exchanges
Raymond Tsang
Bank of Canada Review article
1999
The Information Content of Interest Rate Futures Options
D. Mc Manus
Working Paper 99-15
1999
Greater Transparency in Monetary Policy: Impact on Financial Markets
P. Muller and M. Zelmer
Technical Report No. 86
1999
Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market
T. Gravelle
Working Paper 99-11
1999
Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets
B. Fung, S. Mitnick, and E. Remolona
Working Paper 99-6
1999
An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention
N. Beattie and J-F. Fillion
Working Paper 99-4
Winter 1998-99
Conference summary: Information in financial asset prices
Kevin Clinton and Mark Zelmer
Bank of Canada Review article
Winter 1998-99
Survey of the Canadian foreign exchange and derivatives markets
Rob Ogrodnick and Judy DiMillo
Bank of Canada Review article
1998
Buying Back Government Bonds: Mechanics and Other Considerations
T. Gravelle
Working Paper 98-9
Winter 1997-98
The Overnight Market in Canada
E. Lundrigan and S. Toll
Bank of Canada Review article
1997
Canadian Short-Term Interest Rates and the BAX Futures Market
D. G. Watt
Working Paper 97-18
1997
Fads or Bubbles?
H. Schaller and S. van Norden
Working paper 97-2
Winter 1996-97
The Canadian market for zero-coupon bonds
M. Whittingham
Bank of Canada Review article
Autumn 1996
The market for futures contracts on Canadian bankers' acceptances
N. Harvey
Bank of Canada Review article
1996
Speculative Behaviour, Regime-Switching and Stock Market Crashes
S. van Norden and H. Schaller
Working Paper 96-13
1996
Provincial Credit Ratings in Canada: An Ordered Probit Analysis
S. Cheung
Working Paper 96-6
1996
Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach
R. Vigfusson
Working Paper 96-1
Winter 1995-96
Survey of the Canadian foreign exchange and derivatives markets
M. Miville
Bank of Canada Review article
Autumn 1995
The Government of Canada bond market since 1980
A. Branion
Bank of Canada Review article
1995
Cash Management and the Overnight Market Under Zero Reserves
J. Johnson
Print copy available
conference proceedings
1995
Prospects for the Canadian Repo Market
M. Gregory
Print copy available
conference proceedings
Winter 1994-95
Repo, reverse repo and securities lending markets in Canada
R. Morrow
Bank of Canada Review article
1994
Optimum Currency Areas and Shock Asymmetry: A Comparison of Europe and the United States
Chamie, N., A. DeSerres and R. Lalonde
Working Paper 94-1
Spring 1994
The Government of Canada treasury bill market and its role in monetary policy
K. Fettig
Print copy available
Bank of Canada Review article
1994
The Microstructure of Financial Derivatives Markets: Exchange-Traded versus Over-the-Counter
B. Gonzalez-Hermosillo
Technical Report 68
1994
Tests of Market Efficiency in the One-Week When-issued Market for Government of Canada Treasury Bills
D. G. Pugh
Technical Report 65
Autumn 1993
The development of financial derivatives markets in Canada
S. O'Connor
Print copy available
Bank of Canada Review article
1993
Speculative Behaviour, Regime Switching and Stock Market Fundamentals
S. van Norden and H. Schaller
Print copy available
Working Paper 93-2
1993
The Development of Financial Derivatives Markets: The Canadian Experience
S. M. O'Connor
Technical Report 62
1986
International Capital Mobility and Asset Substitutability: Some Theory and Evidence on Recent Structural Changes
F. Caramazza, K. Clinton, A. Côté, D. Longworth
Technical Report 44
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