Download or read book Empirical Analysis of the Canadian Term Structure of Zero coupon Interest Rates written by Bank of Canada and published by . This book was released on 2004 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Analysis of the Canadian Term Structure of Zero coupon Interest Rates written by David Bolder and published by . This book was released on 2004 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Analysis of the Canadian Term Structure of Zero Coupon Interest Rates written by David Jamieson Bolder and published by . This book was released on 2008 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. The risk-free government zero-coupon term structure is, however, not directly observable and needs to be generated from the prices of marketable, coupon-bearing bonds. The authors introduce the first public-domain database of constant-maturity zero-coupon yield curves for the Government of Canada bond market. They first outline the mechanics of the curve-fitting algorithm that underlie the model, and then perform some preliminary statistical analysis on the resulting yield curves. The full sample period extends from January 1986 to May 2003; it is broken down into two subsamples, reflecting the structural and macroeconomic changes that impacted the Canadian fixed-income markets over that time. The authors examine the evolution of a number of key interest rates and yield-curve measures over the period, perform a principal-components analysis of the common factors that have influenced yield changes over time, and compare holding-period returns over the sample for assets of various maturities.
Download or read book Yield Curve Modelling at the Bank of Canada written by David Bolder and published by . This book was released on 1999 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Analysis of the Information Content of Canadian Forward Interest Rates written by Laura Lang and published by . This book was released on 1992 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling and Forecasting Canadian Yield Curve with Macroeconomic Determinants written by Di Huo and published by . This book was released on 2007 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: Term structure of interest rates is crucial for pricing bonds and managing financial risks. The yield curve of zero-coupon bonds can typically be used to measure the term structure of interest rates. In this paper, we use the popular Nelson-Siegel three-factor framework to model the entire Canadian yield curve. The empirical results show that the model fits the Canadian yield curve well. We estimate vector autoregressive models for the three factors in order to produce out-of-sample forecasts, and also employ seven natural competitors for comparison. Our forecast results are encouraging. Our model is superior to most competitors, especially at longer horizons. We further incorporate macro variables into the yield-only model. From the results of forecast comparison test between the yield-only model and yield-macro model, we conclude that a joint dynamic term structure model incorporating macro variables contributes to sharpening our ability of forecasting yields accurately out of sample.
Download or read book Handbook of Financial Engineering written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2010-07-25 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.
Download or read book The Expectations Hypothesis for the Longer End of the Term Structure written by Ron Lange and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the expectations theory for the longer end of the term structure of Canadian interest rates using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis; (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post tests of the rational expectations hypothesis. The empirical results in this paper show that the expectations theory has considerable economic and statistical content for explaining movements in Canadian long-term yields. The cointegration results from a vector error-correction model find a long-run relationship between short- and long-term interest rates; the term spread is an unbiased predictor of changes in short-term rates over the long run. The multi-period forecast of changes in future short-term rates from a Campbell-Shiller vector autoregression model can account for most of the variance of long-term yields; the actual long-term yield moves almost one for one with its theoretical counterpart under the expectations hypothesis. The tests of the rational expectations hypothesis on bond yields from 1 to 5 years' maturity find that the term structure beyond 2 years resembles a rational forecast of the weighted average of changes in future short rates.
Download or read book The Expectations Hypothesis for the Longer End of the Term Structure written by Ronald Henry Lange and published by . This book was released on 1998 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fixed Income Portfolio Analytics written by David Jamieson Bolder and published by Springer. This book was released on 2015-02-02 with total page 559 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples, the author also highlights the necessary technical tools and the common pitfalls that arise when working in this area. Finally, the book discusses tools for testing the reasonableness of the key analytics to help build and maintain confidence for using these techniques in day-to-day decision making. This will be of keen interest to risk managers, analysts and asset managers responsible for fixed-income portfolios.
Download or read book The Term Structure and Real Activity in Canada written by Barry Vincent Cozier and published by . This book was released on 1994 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing the Expectations Hypothesis when Interest Rates are Near Integrated written by Meredith J. Beechey and published by . This book was released on 2008 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia"--Federal Reserve Board web site.
Download or read book Quantitative Finance written by Matt Davison and published by CRC Press. This book was released on 2014-05-08 with total page 535 pages. Available in PDF, EPUB and Kindle. Book excerpt: Teach Your Students How to Become Successful Working QuantsQuantitative Finance: A Simulation-Based Introduction Using Excel provides an introduction to financial mathematics for students in applied mathematics, financial engineering, actuarial science, and business administration. The text not only enables students to practice with the basic techn
Download or read book Unconventional Monetary Policy in a Small Open Economy written by Margaux MacDonald and published by International Monetary Fund. This book was released on 2017-12-01 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the effects of unconventional monetary policy in a small open economy. Using recently proposed shadow interest rates to capture unconventional monetary policy at the zero lower bound (ZLB) we estimate a Bayesian structural vector autoregressive model for Canada - a useful case where foreign shocks can be proxied by U.S. variables alone. We find that, during the ZLB period, Canadian unconventional monetary policy increased output (measured by industrial production) by 0.013 percent per month on average while US unconventional monetary policy raised Canadian output by 0.127 percent per month on average. Our results demonstrate the effectiveness of domestic unconventional monetary policy and the strong positive spillover effects that foreign unconventional monetary policies can have in a small open economy.
Download or read book Riding the Yield Curve Risk Taking Behavior in a Low Interest Rate Environment written by Mr.Ralph Chami and published by International Monetary Fund. This book was released on 2020-03-13 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Download or read book Term Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Download or read book Monetary Policy Alternatives at the Zero Bound written by Ben S. Bernanke and published by www.bnpublishing.com. This book was released on 2009-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The success over the years in reducing inflation and, consequently, the average level of nominal interest rates has increased the likelihood that the nominal policy interest rate may become constrained by the zero lower bound. When that happens, a central bank can no longer stimulate aggregate demand by further interest-rate reductions and must rely on "non-standard" policy alternatives. To assess the potential effectiveness of such policies, we analyze the behavior of selected asset prices over short periods surrounding central bank statements or other types of financial or economic news and estimate "noarbitrage" models of the term structure for the United States and Japan. There is some evidence that central bank communications can help to shape public expectations of future policy actions and that asset purchases in large volume by a central bank would be able to affect the price or yield of the targeted asset.
