5 Works

La fiabilité des estimations de l'écart de production au Canada

Cayen Jean-Philippe & Simon van Norden
Dans cette étude, nous mesurons, à l'aide de données canadiennes, l'ampleur des révisions apportées aux estimations en temps réel de l'écart de production obtenues avec diverses techniques d'estimations univariées et multivariées. Nous effectuons aussi une évaluation empirique de l'utilité des estimations faites de l'écart de production pour prévoir l'inflation. Nos résultats montrent que, quelle que soit la technique d'estimation utilisée, l'écart-type des révisions est d'un ordre de grandeur similaire à celui des estimations de l'écart...

Modelling Risk Premiums in Equity and Foreign Exchange Markets

René Garcia & Maral Kichian
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables. Similarly, in the foreign exchange market, the forward rate was found not to be an unbiased predictor of the future spot rate, and excess foreign exchange returns were shown to be partially explained...

Filtering for Current Analysis

Simon van Norden
This paper shows how existing band-pass filtering techniques and their extension can be applied to the common current-analysis problem of estimating current trends or cycles. These techniques give estimates that are "optimal" given the available data, so their standard errors represent a lower bound on what can be achieved with other univariate techniques. Applications to the problems of estimating current trend productivity growth, core inflation, and output gaps are considered.

Price Discovery in Canadian Government Bond Futures and Spot Markets

Christopher Chung, Bryan Campbell & Scott Hendry
In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process. Both approaches estimate a vector error correction model that permits the separation of long-run price movements from short-run...

Discounting in Mortgage Markets

Jason Allen, Robert Clark & Jean-François Houde
This paper studies discounting in mortgage markets. Using transaction-level data on Canadian mortgages, we document that over time there's been an increase in the average discount, along with substantial dispersion. The standard explanation for dispersion in credit markets is that lenders engage in risk-based pricing. Our setting is unique since contracts are guaranteed by government-backed insurance, meaning risk cannot be the main driver of dispersion. We find that mortgage rates depend on individual, contractual, and...

Registration Year

  • 2021

Resource Types

  • Text


  • Center for Interuniversity Research and Analysis on Organizations
  • Bank of Canada
  • HEC Montréal
  • University of Montreal
  • University of Wisconsin–Madison
  • Concordia University