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Canadian short-term interest rates and the BAX futures market : an analysis of the impact of volatility on hedging activity and the correlation of returns between markets / by David G. Watt.: FB3-2/97-18E-PDF

This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts.--Abstract

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.571664&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleCanadian short-term interest rates and the BAX futures market : an analysis of the impact of volatility on hedging activity and the correlation of returns between markets / by David G. Watt.
Series title
  • Bank of Canada working paper 1701-9397 97-18
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Other formatsPhysical text-[English]
Note(s)
  • "This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts."--Abstract.
  • The ISBN (0-662-26235-2) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication.
  • Bibliography.
  • Résumé en français.
Publishing information
  • Ottawa - Ontario : Bank of Canada July 1997.
Description45p.graphs, tables
ISSN1701-9397
Catalogue number
  • FB3-2/97-18E-PDF
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