00000nam 2200000za 4500 9.847609 CaOODSP 20221107153500 cr ||||||||||| 171123s2017 oncd obs f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2017-44E-PDF Fontaine, Jean-Sébastien. Measuring limits of arbitrage in fixed-income markets [electronic resource] / by Jean-Sébastien Fontaine and Guillaume Nolin. [Ottawa] : Bank of Canada, 2017. [iii], 33 p. : col. charts Bank of Canada staff working paper, 1701-9397 ; 2017-44 "October 2017." Includes bibliographical references (p. 22). “We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo-trading strategy based on relative value generates higher returns than one based on the well-known noise measure. The relative value is therefore a better proxy for limits to arbitrage. We construct relative value indices for the US, UK, Japan, Germany, Italy, France, Switzerland and Canada. Limits to arbitrage increase with the scarcity of capital: we find that each index is correlated with local volatility and funding costs. Limits to arbitrage also exhibit strong commonality across countries, consistent with the international mobility of capital. The relative value indices are updated regularly and available publicly"--Abstract, p. ii. Includes abstract in French. gccst Stock markets gccst Assets gccst Prices gccst Statistical analysis Nolin, Guillaume. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2017-44 (CaOODSP)9.806221 PDF 1.23 MB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-44-eng.pdf