[Information in financial asset prices] : [proceedings of a conference held by the Bank of Canada, May 1998] : FB4-6/1998E-PDF

The conference will begin with a critical review of financial asset-pricing modells, particularly those based on an explicit modelling of investor preferences. From there, it will branch out along two paths: examining techniques that could be used to extract information for setting the strategic course of monetary policy; and discussion models that could be used to obtain information that can help central banks implement monetary policy.--Opening remarks

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Publication information
Department/Agency Bank of Canada.
Title [Information in financial asset prices] : [proceedings of a conference held by the Bank of Canada, May 1998]
Variant title Asset pricing in consumption models : a survey of the literature ; Discussion ; Extraction of expected inflation from Canadian forward rates ; Discussion ; Discussion ; Yield and inflation differentials between Canada and the United States ; Discussion ; Discussion ; Central bank policy, inflation, and stock prices ; Discussion ; Towards a new measure of interest rate expectations in Canada: estimating a time-varying term premium ; Discussion ; Discussion ; The information contents of Canadian dollar futures options ; Discussion ; Discussion ; Confidence intervals and constant-maturity series for probability measures extracted from options prices ; Discussion; Discussion ; Pitfalls and opportunities for the conduct of monetary policy in a world of high-frequency data ; Participants
Publication type Monograph
Language [English]
Other language editions [French]
Format Electronic
Electronic document
Other formats Paper-[English]
Note(s) Contents: Asset pricing in consumption models : a survey of the literature / Benoît Carmichael ; Discussion / Jason Wei ; Extraction of expected inflation from Canadian forward rates / Joseph Atta-Mensah and Mingwei Yuan ; Discussion / Arturo Estrella ; Discussion / Angelo Melino ; Yield and inflation differentials between Canada and the United States / Ben Siu Cheong Fung and Eli Remolona ; Discussion / Nicola Anderson ; Discussion / Mark Flood ; Central bank policy, inflation, and stock prices / Ronald Giammarino ; Discussion / William Barker ; Towards a new measure of interest rate expectations in Canada: estimating a time-varying term premium / Toni Gravelle, Philippe Muller and David Stréliski ; Discussion / Mark Chandler ; Discussion / Alan White ; The information contents of Canadian dollar futures options / Alexander Levin, Des McManus and David Watt ; Discussion / Glen Donaldson ; Discussion / Michael Narayan ; Confidence intervals and constant-maturity series for probability measures extracted from options prices / William Melick and Charles Thomas ; Discussion / Jerry Hanweck ; Discussion / Richard Black ; Pitfalls and opportunities for the conduct of monetary policy in a world of high-frequency data / Pierre Siklos ; Participants
Publishing information Bank of Canada May 1998.
Description 30, 13, 28, 5, 6, 35, 5, 7, 22, 6, 38, 6, 4, 47, 8, 5, 28, 3, 5, 39, 6p.graphs, references, tables
Catalogue number
  • FB4-6/1998E-PDF
Subject terms Interest rates
Monetary policy
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