Publications and Research

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2006
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
Fousseni Chabi-Yo
Working Paper 2006-38

2006
Credit in a Tiered Payments System
Alexandra Lai, Nikil Chande, and Sean O'Connor
Working Paper 2006-36

2006
Multinationals and Exchange Rate Pass-Through
Alexandra Lai and Oana Secrieru
Working Paper 2006-30

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

2005
Order Submission: The Choice between Limit and Market Orders
Ingrid Lo and Stephen G. Sapp
Working Paper 2005-42

2005
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
Fousseni Chabi-Yo, René Garcia, and Eric Renault
Working Paper 2005-9

2005
Determinants of Borrowing Limits on Credit Cards
Shubhasis Dey and Gene Mumy
Working Paper 2005-7

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

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

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

2004
International Equity Flows and Returns: A Quantitative Equilibrium Approach
Rui Albuquerque, Gregory H. Bauer, and Martin Schneider
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

2004
Competition on Banking: A Review of the Literature
Carol Ann Northcott
Working Paper 2004-24

2004
The Effects of Economic News on Bond Market Liquidity
Chris D'Souza and Charles Gaa
Working Paper 2004-16

2004
The Economic Theory of Retail Pricing: A Survey
Oana Secrieru
Working Paper 2004-8

2003
Policy Remedies for Conflicts of Interest in the Financial System
Frederic S. Mishkin
A Festschrift in Honour of Charles Freedman

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

2002
Oil-Price Shocks and Retail Energy Prices in Canada
Marwan Chacra
Working Paper 2002-38

2002
How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?
Chris D'Souza
Working Paper 2002-34

2002
Nominal Rigidity, Desired Markup Variations, and Real Exchange Rate Persistence
Hafedh Bouakez
Working Paper 2002-26

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

2001
The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ (PDF)
Toni Gravelle
Conference paper

2001
Optimal Market Structure: Does One Shoe Fit All? (PDF)
Nicolas Audet, Toni Gravelle, and Jing Yang
Conference paper

2001
The Development of Alternative Trading Systems in the U.K. Gilts Market: Lessons and Implications (PDF)
Allison Holland
Conference paper

2001
Liquidity, Transactions Costs, and Reintermediation in Electronic Markets
(PDF)
Ian Domowitz
Conference paper

2001
Should Securities Markets Be Transparent? (PDF)
Ananth Madhavan, David Porter, and Daniel Weaver
Conference paper

2001
The Effects of Bank Consolidation on Risk Capital Allocation and Market Liquidity (PDF)
Chris D'Souza and Alexandra Lai
Conference paper

2001
Detecting Shift Contagion in Currency and Bond Markets (PDF)
Toni Gravelle, Maral Kichian and James Morley
Conference paper

2001
Price Discovery in a Market Under Stress: The U.S. Treasury Market in Autumn 1998 (PDF)
Craig H. Furfine and Eli M. Remolona
Conference paper

2001
Portfolio Balance, Price Impact, and Secret Intervention (PDF)
Martin D. D. Evans and Richard K. Lyons
Conference paper

2000
Credit Derivatives
John Kiff and Ron Morrow
Bank of Canada Review article

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

2000
Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry
L. Khalaf and M. Kichian
Working Paper 2000-8

1999
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
J. Knight, F. Li, and M. Yuan
Working Paper 99-19

1998
The Sale of Durable Goods by a Monopolist in a Stochastic Environment
Gabriel Srour
Working Paper 98-18

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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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