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[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

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.695916&sl=0

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 typeMonograph
Language[English]
Other language editions[French]
FormatDigital text
Electronic document
Other formatsPhysical text-[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.
Description30, 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
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