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The Bank of Canada’s annual conference, held in October 2010, brought together leading researchers from universities and central banks around the world. Divided into six sessions plus a keynote address and a panel discussion, the conference covered such topics as the effects of financial...
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The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market. Two different text mining methods...
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This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period. Discussions about geopolitical...
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