Staff Research
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On the Existence and Fragility of Repo Markets
This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange repurchase agreements (repos) endogenously. -
Commodities and Monetary Policy: Implications for Inflation and Price Level Targeting
We examine the relative ability of simple inflation targeting (IT) and price level targeting (PLT) monetary policy rules to minimize both inflation variability and business cycle fluctuations in Canada for shocks that have important consequences for global commodity prices. -
10 June 2012 Financial Markets Presenters for 2011-2012
Topics covered include Asset Pricing, Corporate Finance and Microstructure. -
The U.S.-Dollar Supranational Zero-Coupon Curve
The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model.