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Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy

Fontaine, Jean-Sébastien - Bank of Canada - 2012

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...

Persistent link: https://www.econbiz.de/10010598589

Estimating DSGE-Model-Consistent Trends for Use in Forecasting

Cayen, Jean-Philippe; Gosselin, Marc-André; Kozicki, Sharon - Bank of Canada - 2009

The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to loglinearize models and express them with variables in deviation-from-steady-state format. Structural parameters are either...

Persistent link: https://www.econbiz.de/10008495570

CoMargin

Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013

We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes market...

Persistent link: https://www.econbiz.de/10010849953

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

Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...

Persistent link: https://www.econbiz.de/10010960394

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

Christoffersen, Peter; Feunou, Bruno; Jacobs, Kris; … - Bank of Canada - 2012

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...

Persistent link: https://www.econbiz.de/10010575969

Price Discovery in Canadian and U.S. 10-Year Government Bond Markets

Campbell, Bryan; Hendry, Scott - Bank of Canada - 2007

This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information...

Persistent link: https://www.econbiz.de/10005808284

Default Dependence: The Equity Default Relationship

Turnbull, Stuart M.; Yang, Jun - Bank of Canada - 2008

default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and … premia. In addition, we demonstrate a linkage between the default barrier, jump intensity, and barrier volatility estimated … from our models and firm-specific variables related to default risk, such as credit ratings, equity volatility, and …

Persistent link: https://www.econbiz.de/10005808312

Modelling the Evolution of Credit Spreads in the United States

Turnbull, Stuart M.; Yang, Jun - Bank of Canada - 2004

default under the natural measure and compare it with the estimated default frequencies produced by KMV. …

Persistent link: https://www.econbiz.de/10005808354

Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks

García, Alejandro; Prokopiw, Andrei - Bank of Canada - 2009

default swap index tranches, and a structural model applied to the spread on U.S. corporate bond indexes. The authors find …

Persistent link: https://www.econbiz.de/10008549271

Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account

Arbatli, Elif C. - Bank of Canada - 2008

The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the current account reflects consumption smoothing of agents that lend and borrow from the rest of the world in the face of transitory...

Persistent link: https://www.econbiz.de/10005162451

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