Publications and Research

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2006
Can Affine Term Structure Models Help Us Predict Exchange Rates?
Antonio Diez de los Rios
Working Paper 2006-27

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
Discrete-time Dynamic Term Structure Models with Generalized Market Prices of Risk (PDF)
Kenneth Singleton
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

2005
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
Ingrid Lo
Working Paper 2005-45

2005
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
René Garcia and Richard Luger
Working Paper 2005-36

2005
Testing the Parametric Specification of the Diffusion Function in a Diffusion Process
Fuchun Li
Working Paper 2005-35

2005
Does Financial Structure Matter for the Information Content of Financial Indicators?
Ramdane Djoudad, Jack Selody, and Carolyn Wilkins
Working Paper 2005-33

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

Autumn 2004
Real Return Bonds: Monetary Policy Credibility and Short-Term Inflation Forecasting
Christopher Reid, Frédéric Dion, and Ian Christensen
Bank of Canada Review article

2004
Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate
Ian Christensen, Frédéric Dion, and Christopher Reid
Working Paper 2004-43

Summer 2004
The Efficiency of Canadian Capital Markets: Some Bank of Canada Research
Scott Hendry and Michael R. King
Bank of Canada Review article

2004
Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization
Denise Côté and Christopher Graham
Working Paper 2004-23

2004
Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General-Equilibrium Framework
Jean-Paul Lam and Greg Tkacz
Working Paper 2004-9

2003
Central Bank Talk: Does It Matter and Why?
Donald L. Kohn and Brian P. Sack
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
Measuring Interest Rate Expectations in Canada
Grahame Johnson
Working Paper 2003-26

Summer 2003
Measuring Interest Rate Expectations in Canada
Grahame Johnson
Bank of Canada Review article

Winter 2002-2003
Transparency and the Response of Interest Rates to the Publication of Macroeconomic Data
Nicolas Parent
Bank of Canada Review article

2002
Inflation Changes, Yield Spreads, and Threshold Effects
Greg Tkacz
Working Paper 2002-40

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
Towards a More Complete Debt Strategy Simulation Framework
David Jamieson Bolder
Working Paper 2002-13

2001
Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
Ying Liu
Working Paper 2001-23

2001
Affine Term-Structure Models: Theory and Implementation
David Jamieson Bolder
Working Paper 2001-15

Winter 2000-2001
The Federal Government's Use of Interest Rate Swaps and Currency Swaps
John Kiff, Uri Ron, and Shafiq Ebrahim
Bank of Canada Review article

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

Winter 1999-2000
Feedback Rules for Inflation Control: An Overview of Recent Literature
Jamie Armour and Agathe Côté
Bank of Canada Review article

2000
Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
G. Tkacz
Working Paper 2000-5

1999
The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada
R. Lange
Working Paper 99-20

1999
Estimating One-Factor Models of Short-Term Interest Rates
D. Mc Manus and D. Watt
Working Paper 99-18

1999
The Information Content of Interest Rate Futures Options
D. Mc Manus
Working Paper 99-15

1999
Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets
B. Fung, S. Mitnick, and E. Remolona
Working Paper 99-6

1998
A Non-Paradoxical Interpretation of the Gibson Paradox
Serge Coulombe
Working Paper 98-22

1998
Predicting Canadian Recessions Using Financial Variables: A Probit Approach
Atta-Mensah, Joseph, and Greg Tkacz
Working Paper 98-5

Spring 1998
The use of forward rate agreements in Canada
Jean-Yves Paquette and David Stréliski
Bank of Canada Review article

Summer 1998
Canada-U.S. long-term interest differentials in the 1990s
Kevin Clinton
Bank of Canada Review article

1997
Canadian Short-Term Interest Rates and the BAX Futures Market
D. G. Watt
Working Paper 97-18

1997
The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation
J. Day and R. Lange
Working Paper 97-10

Summer 1996
Inflation expectations and Real Return Bonds
Agathe Cote, Jocelyn Jacob, John Nelmes, Miles Whittingham
Bank of Canada Review article

Summer 1996
Real short-term interest rates and expected inflation: Measurement and interpretation
Nicholas Ricketts
Bank of Canada Review article

1996
L'endettement du Canada et ses effets sur les taux d'intérêt réels de long terme
J.-F. Fillion
Working Paper 96-14

1996
Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex-Ante Real Interest Rates Using Structural VAR Methodology
P. St-Amant
Working Paper 96-2

1995
Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates
C. Ragan
Working Paper 95-1

Winter 1994-95
The term structure of interest rates as a leading indicator of economic activity: A technical note
K. Clinton
Bank of Canada Review article

1994
The Term Structure and Real Activity in Canada
B. Cozier and G. Tkacz
Working paper 94-3

1992
Les taux à terme administrés des banques
J.-P. Caron
Print copy available
Working Paper 92-4

1990
International Interest Rate Linkages and Monetary Policy: A Canadian Perspective
J. Murray and R. Khemani
Technical Report 52

1985
The Structure of the Small Annual Model / La structure du modèle SAM
D. E. Rose and J. G. Selody
Technical Report 40

1984
The Inflation-Adjusted Rate of Return on Corporate Debt and Equity:1966-1980
S. C. Gilson
Technical Report 39

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Publications Distribution
Bank of Canada, Ottawa, Ontario, K1A 0G9
Tel: 613 782-8248
Fax: 613 782-8874
Email publications@bankofcanada.ca

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