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| 02116nam 2200337za 4500 |
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| 001 | 9.847609 |
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| 003 | CaOODSP |
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| 005 | 20221107153500 |
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| 007 | cr ||||||||||| |
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| 008 | 171123s2017 oncd obs f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2017-44E-PDF |
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| 100 | 1 |aFontaine, Jean-Sébastien. |
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| 245 | 14|aMeasuring limits of arbitrage in fixed-income markets |h[electronic resource] / |cby Jean-Sébastien Fontaine and Guillaume Nolin. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2017. |
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| 300 | |a[iii], 33 p. : |bcol. charts |
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| 490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-44 |
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| 500 | |a"October 2017." |
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| 504 | |aIncludes bibliographical references (p. 22). |
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| 520 | 3 |a“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. |
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| 546 | |aIncludes abstract in French. |
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| 692 | 07|2gccst|aStock markets |
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| 692 | 07|2gccst|aAssets |
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| 692 | 07|2gccst|aPrices |
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| 692 | 07|2gccst|aStatistical analysis |
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| 700 | 1 |aNolin, Guillaume. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-44|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s1.23 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-44-eng.pdf |
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