Au cours des dernieres annees, Robert Amzallag, Fellow invite du CIRANO, s'est beaucoup inter... more Au cours des dernieres annees, Robert Amzallag, Fellow invite du CIRANO, s'est beaucoup interesse a la recherche et aux activites de transfert menees par le Groupe Finance. Il a propose des initiatives sur des sujets d'actualite touchant le marche financier de Montreal. Notamment a titre de President et chef de la direction de BNP Paribas (Canada), Monsieur Amzallag est bien place pour faire des observations eclairees sur la crise financiere. La presentation de monsieur Amzallag consiste en une analyse retrospective des causes fondamentales de la crise, suivie d'une reflexion sur les evenements a prevoir. Pour ce qui est des causes, il isole trois tendances qui ont pris de l'ampleur au cours des dernieres decennies. Ces tendances comprennent l'erosion de certains facteurs de stabilisation, particulierement dans le marche du credit, qui contribuent a des concentrations excessives du risque. Dans une perspective d'avenir, monsieur Amzallag explore les implicati...
Contexte En 1996, le gouvernement du Quebec a invite des acteurs de la societe civile, des dirige... more Contexte En 1996, le gouvernement du Quebec a invite des acteurs de la societe civile, des dirigeants de grandes entreprises et syndicaux, ainsi que des representants de mouvements sociaux et communautaires a se reunir dans le cadre du sommet sur l'economie et l'emploi, afin de trouver des strategies permettant d'ameliorer le developpement economique et l'emploi au Quebec. Dans le cadre du sommet, un groupe de travail sur l'economie sociale a ete mis en place afin d'evaluer le potentiel du secteur solidaire au Quebec. Pendant deux annees suivant le sommet, le groupe de travail a poursuivi ses activites d'analyse et de promotion. En avril 1999, il s'est regroupe sous le Chantier de l'economie sociale et fonde comme structure permanente. Depuis ce sommet, de nombreux organismes ont vu le jour : entre autres, le Reseau d'investissement du Quebec, fonde en 1997, un fonds d'investissement dedie aux entreprises d'economie sociale; les centre...
Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québe... more Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisationsmembres, d'une subvention d'infrastructure du Ministère du Développement économique et régional et de la Recherche, de même que des subventions et mandats obtenus par ses équipes de recherche. CIRANO is a private non-profit organization incorporated under the Québec Companies Act. Its infrastructure and research activities are funded through fees paid by member organizations, an infrastructure grant from the Ministère du Développement économique et régional et de la Recherche, and grants and research mandates obtained by its research teams.
Standard tests for rationality may not have the correct size if there is feedback from innovation... more Standard tests for rationality may not have the correct size if there is feedback from innovations to future values of the regressors. It is shown that nonparametric tests reject at their nominal level and display good power in a variety of specifications of a model involving feedback. * This work was supported by the Centre de recherche et developpement en economique (C.R.D.E.) of the Universite de Montreal, the Natural Sciences and Engineering Research Council of Canada, the Social Sciences and Humanities Research Council of Canada and the Fonds FCAR (Government of Quebec). We thank Marcel Dagenais, Eric Ghysels, Marc Hallin and Pierre Perron for helpful comments and discussions.
This paper presents some new results on the price discovery process in both the Canadian and U.S.... more This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx. We also analyze similar data from the US market over a somewhat longer period using data on the Chicago Board of Trade (CBOT) futures market as well as the cash market from GovPx in the first part of the sample and subsequently from BrokerTec. In general, we find that relatively more price discovery occurs in the futures markets than the cash markets in both Canada and the U.S. and that the results look remarkably similar across the two countries despite the large differences in the sizes of their markets and in their characteristics, particularly on the cash side. These overall results, however, hide the fact that information shares for the U.S. futures markets declined throughout 2004-05 apparently as a result of improvements in the spot market BrokerTec platform. Day-today variation in price discovery information shares is related to bid-ask spreads, trading volumes, and realized volatility in the markets but there remains much unexplained.
In this paper we look at the relative information content of cash and futures prices for Canadian... more In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process. Both approaches estimate a vector error correction model that permits the separation of long-run price movements from short-run market microstructure effects. As well, we follow Yan and Zivot (2004) who introduce size measures of a market's adjustment to a new equilibrium during the price discovery process. We find that, on an average day, just over 70% of price discovery occurs on the futures market where bid-ask spreads are lower and trading activity is higher. The size of the responses to shocks and the time taken to adjust to a new equilibrium are found to be significantly larger for the cash market.
Le but du présent travail est d'évaluer l'apport que pourrait avoir l’imposition de règle... more Le but du présent travail est d'évaluer l'apport que pourrait avoir l’imposition de règles budgétaires sur le retour au déficit 0 annoncé pour 2027-28 dans le budget 2021-22. Notre approche simule de nombreux scénarios économiques futurs, chacun incorporant des règles budgétaires. Cet exercice est répété un grand nombre de fois, ce qui génère une distribution des déficits budgétaires pour chaque horizon temporel désiré et pour chaque règle budgétaire analysée. Cette approche s’appuie sur une étude historique des écarts budgétaires pour développer un modèle de simulations des écarts qui prend en compte leur évolution dans le temps et leur corrélation entre les composantes budgétaires à l’aide d’un modèle à facteur. Notre approche en deux étapes permet de simuler des déficits futurs : en nous basant sur la valeur simulée du facteur, les écarts des diverses composantes budgétaires sont déterminés. Ensuite, pour chaque composante du budget, le revenu ou dépense avéré est obtenu ...
Ce document est protégé par la loi sur le droit d'auteur. L'utilisation des services d'Érudit (y ... more Ce document est protégé par la loi sur le droit d'auteur. L'utilisation des services d'Érudit (y compris la reproduction) est assujettie à sa politique d'utilisation que vous pouvez consulter en ligne.
During the last several years Robert Amzallag as Senior Fellow at CIRANO has taken an active inte... more During the last several years Robert Amzallag as Senior Fellow at CIRANO has taken an active interest in the research and transfer activities undertaken by the Finance Group. He has suggested initiatives that would be relevant to the financial industry in Montreal, particularly in derivative products and concerning practical issues in governance at the director’s level. As the former President and CEO at BNP Paribas (Canada), Mr. Amzallag is certainly well placed to offer insightful commentary on the financial crisis that has preoccupied us over the last several months. Mr. Amzallag’s presentation combines a retrospective analysis of root causes of the crisis followed by some thoughts on what’s to come. As to causes, he isolates three trends that have been gathering force over several decades. These include the erosion of certain stabilizing factors, particularly in the credit market, that has lead to extreme concentrations of risk. Looking to the future, Mr. Amzallag cautiously exp...
During the last several years Robert Amzallag as Senior Fellow at CIRANO has taken an active inte... more During the last several years Robert Amzallag as Senior Fellow at CIRANO has taken an active interest in the research and transfer activities undertaken by the Finance Group. He has suggested initiatives that would be of topical interest to the financial industry in Montreal, particularly in derivative products and concerning practical issues in governance at the director's level. Before moving to London, he had met on a regular basis with the researchers at CIRANO. Of course, we have been eager during his career here in Montreal to listen to someone with his considerable experience in the banking sector, notably as the former President and CEO at BNP Paribas (Canada).Mr. Amzallag is certainly well placed to offer insightful commentary on the financial crisis that has preoccupied us over the last several months, and we have taken advantage of his annual stay at his country home north of Montreal to suggest that early in the New Year he present his thoughts on the crisis.... Au ...
Abstract-As an important initial step in the annual budget process, the President presents to Con... more Abstract-As an important initial step in the annual budget process, the President presents to Congress each January his budget with details of federal spending activity and priorities. Our paper is a statistical assessment of the merit of the budget figures submitted to Congress. We ...
ABSTRACT Regression tests of the expectations theory of the term structure typically reject the n... more ABSTRACT Regression tests of the expectations theory of the term structure typically reject the null hypothesis of orthogonality between implied forecast errors and the yield spreads. In the statistical literature on the term structure, these rejections are sometimes attributed to time-varying liquidity premia, and Engle et al. (1987) suggest that the ARCH-M model of time-variation in the liquidity premium may be sufficient to account for rejections of the expectations theory. We use non-parametric (kernel) regression to explore the regression test results on a number of data sets, and find some evidence of a persistent deviation from orthogonality for large absolute values of the spread. Incorporating ARCH-in-mean into models of the term premium indicates that this specification does explain significant time variation in liquidity premia, but the effect does not apepar to be sufficient to account for all of the deviations from orthogonality of forecast errors and spreads.
The growth rates of real output and real investment are two macroeconomic time series which are p... more The growth rates of real output and real investment are two macroeconomic time series which are particularly difficult to forecast. This paper considers the application of diffusion index forecasting models to this problem. We begin by characterizing the performance of standard forecasts, via recently-introduced measures of predictability and the forecast content, noting the maximum horizon at which the forecasts have value. We then compare diffusion index forecasts with a variety of alternatives, including the forecasts made by the OECD. We find gains in forecast accuracy at short horizons from the diffusion index models, but do not find evidence that the maximum horizon for forecasts can be extended in this way.
... The authors thank Jean-Pierre Florens, Eric Renault, Jim Stock, Alain Trognon, Victoria Zinde... more ... The authors thank Jean-Pierre Florens, Eric Renault, Jim Stock, Alain Trognon, Victoria Zinde-Walsh, two anonymous referees as well as seminar participants at the Universite Libre de Bruxelles, the University of Bristol, the 1993 Meetings of the ... 152 CAMPBELL AND DUFOUR ...
Recent research has examined apparent deviations from the expectations theory of the term structu... more Recent research has examined apparent deviations from the expectations theory of the term structure detectable in regression tests, which may be interpreted as efficiency tests. Efficiency is rejected in many studies. Inference is complicated, however, by the non-normality of regression residuals, invalidating standard parametric test procedures. The present paper examines these rejections using robust diagnostic methods and non-parametric tests. We find some evidence against the expectations theory of the term structure in U.S. data, but not in Canadian. We also investigate the possible explanation of a link between forecast error and the yield spread through models of timevariation in the liquidity premium.
Canadian Public Policy / Analyse de Politiques, 2006
Cet article 6value la performance, en matiere de previsions, des institutions financieres et des ... more Cet article 6value la performance, en matiere de previsions, des institutions financieres et des firmes de pr6visions canadiennes entre 1984 et 2003. La p6riode de temps qui sert d'6chantillon est environ le double de celle d'une etude antdrieure. Nous divisons la ...
Au cours des dernieres annees, Robert Amzallag, Fellow invite du CIRANO, s'est beaucoup inter... more Au cours des dernieres annees, Robert Amzallag, Fellow invite du CIRANO, s'est beaucoup interesse a la recherche et aux activites de transfert menees par le Groupe Finance. Il a propose des initiatives sur des sujets d'actualite touchant le marche financier de Montreal. Notamment a titre de President et chef de la direction de BNP Paribas (Canada), Monsieur Amzallag est bien place pour faire des observations eclairees sur la crise financiere. La presentation de monsieur Amzallag consiste en une analyse retrospective des causes fondamentales de la crise, suivie d'une reflexion sur les evenements a prevoir. Pour ce qui est des causes, il isole trois tendances qui ont pris de l'ampleur au cours des dernieres decennies. Ces tendances comprennent l'erosion de certains facteurs de stabilisation, particulierement dans le marche du credit, qui contribuent a des concentrations excessives du risque. Dans une perspective d'avenir, monsieur Amzallag explore les implicati...
Contexte En 1996, le gouvernement du Quebec a invite des acteurs de la societe civile, des dirige... more Contexte En 1996, le gouvernement du Quebec a invite des acteurs de la societe civile, des dirigeants de grandes entreprises et syndicaux, ainsi que des representants de mouvements sociaux et communautaires a se reunir dans le cadre du sommet sur l'economie et l'emploi, afin de trouver des strategies permettant d'ameliorer le developpement economique et l'emploi au Quebec. Dans le cadre du sommet, un groupe de travail sur l'economie sociale a ete mis en place afin d'evaluer le potentiel du secteur solidaire au Quebec. Pendant deux annees suivant le sommet, le groupe de travail a poursuivi ses activites d'analyse et de promotion. En avril 1999, il s'est regroupe sous le Chantier de l'economie sociale et fonde comme structure permanente. Depuis ce sommet, de nombreux organismes ont vu le jour : entre autres, le Reseau d'investissement du Quebec, fonde en 1997, un fonds d'investissement dedie aux entreprises d'economie sociale; les centre...
Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québe... more Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisationsmembres, d'une subvention d'infrastructure du Ministère du Développement économique et régional et de la Recherche, de même que des subventions et mandats obtenus par ses équipes de recherche. CIRANO is a private non-profit organization incorporated under the Québec Companies Act. Its infrastructure and research activities are funded through fees paid by member organizations, an infrastructure grant from the Ministère du Développement économique et régional et de la Recherche, and grants and research mandates obtained by its research teams.
Standard tests for rationality may not have the correct size if there is feedback from innovation... more Standard tests for rationality may not have the correct size if there is feedback from innovations to future values of the regressors. It is shown that nonparametric tests reject at their nominal level and display good power in a variety of specifications of a model involving feedback. * This work was supported by the Centre de recherche et developpement en economique (C.R.D.E.) of the Universite de Montreal, the Natural Sciences and Engineering Research Council of Canada, the Social Sciences and Humanities Research Council of Canada and the Fonds FCAR (Government of Quebec). We thank Marcel Dagenais, Eric Ghysels, Marc Hallin and Pierre Perron for helpful comments and discussions.
This paper presents some new results on the price discovery process in both the Canadian and U.S.... more This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx. We also analyze similar data from the US market over a somewhat longer period using data on the Chicago Board of Trade (CBOT) futures market as well as the cash market from GovPx in the first part of the sample and subsequently from BrokerTec. In general, we find that relatively more price discovery occurs in the futures markets than the cash markets in both Canada and the U.S. and that the results look remarkably similar across the two countries despite the large differences in the sizes of their markets and in their characteristics, particularly on the cash side. These overall results, however, hide the fact that information shares for the U.S. futures markets declined throughout 2004-05 apparently as a result of improvements in the spot market BrokerTec platform. Day-today variation in price discovery information shares is related to bid-ask spreads, trading volumes, and realized volatility in the markets but there remains much unexplained.
In this paper we look at the relative information content of cash and futures prices for Canadian... more In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process. Both approaches estimate a vector error correction model that permits the separation of long-run price movements from short-run market microstructure effects. As well, we follow Yan and Zivot (2004) who introduce size measures of a market's adjustment to a new equilibrium during the price discovery process. We find that, on an average day, just over 70% of price discovery occurs on the futures market where bid-ask spreads are lower and trading activity is higher. The size of the responses to shocks and the time taken to adjust to a new equilibrium are found to be significantly larger for the cash market.
Le but du présent travail est d'évaluer l'apport que pourrait avoir l’imposition de règle... more Le but du présent travail est d'évaluer l'apport que pourrait avoir l’imposition de règles budgétaires sur le retour au déficit 0 annoncé pour 2027-28 dans le budget 2021-22. Notre approche simule de nombreux scénarios économiques futurs, chacun incorporant des règles budgétaires. Cet exercice est répété un grand nombre de fois, ce qui génère une distribution des déficits budgétaires pour chaque horizon temporel désiré et pour chaque règle budgétaire analysée. Cette approche s’appuie sur une étude historique des écarts budgétaires pour développer un modèle de simulations des écarts qui prend en compte leur évolution dans le temps et leur corrélation entre les composantes budgétaires à l’aide d’un modèle à facteur. Notre approche en deux étapes permet de simuler des déficits futurs : en nous basant sur la valeur simulée du facteur, les écarts des diverses composantes budgétaires sont déterminés. Ensuite, pour chaque composante du budget, le revenu ou dépense avéré est obtenu ...
Ce document est protégé par la loi sur le droit d'auteur. L'utilisation des services d'Érudit (y ... more Ce document est protégé par la loi sur le droit d'auteur. L'utilisation des services d'Érudit (y compris la reproduction) est assujettie à sa politique d'utilisation que vous pouvez consulter en ligne.
During the last several years Robert Amzallag as Senior Fellow at CIRANO has taken an active inte... more During the last several years Robert Amzallag as Senior Fellow at CIRANO has taken an active interest in the research and transfer activities undertaken by the Finance Group. He has suggested initiatives that would be relevant to the financial industry in Montreal, particularly in derivative products and concerning practical issues in governance at the director’s level. As the former President and CEO at BNP Paribas (Canada), Mr. Amzallag is certainly well placed to offer insightful commentary on the financial crisis that has preoccupied us over the last several months. Mr. Amzallag’s presentation combines a retrospective analysis of root causes of the crisis followed by some thoughts on what’s to come. As to causes, he isolates three trends that have been gathering force over several decades. These include the erosion of certain stabilizing factors, particularly in the credit market, that has lead to extreme concentrations of risk. Looking to the future, Mr. Amzallag cautiously exp...
During the last several years Robert Amzallag as Senior Fellow at CIRANO has taken an active inte... more During the last several years Robert Amzallag as Senior Fellow at CIRANO has taken an active interest in the research and transfer activities undertaken by the Finance Group. He has suggested initiatives that would be of topical interest to the financial industry in Montreal, particularly in derivative products and concerning practical issues in governance at the director's level. Before moving to London, he had met on a regular basis with the researchers at CIRANO. Of course, we have been eager during his career here in Montreal to listen to someone with his considerable experience in the banking sector, notably as the former President and CEO at BNP Paribas (Canada).Mr. Amzallag is certainly well placed to offer insightful commentary on the financial crisis that has preoccupied us over the last several months, and we have taken advantage of his annual stay at his country home north of Montreal to suggest that early in the New Year he present his thoughts on the crisis.... Au ...
Abstract-As an important initial step in the annual budget process, the President presents to Con... more Abstract-As an important initial step in the annual budget process, the President presents to Congress each January his budget with details of federal spending activity and priorities. Our paper is a statistical assessment of the merit of the budget figures submitted to Congress. We ...
ABSTRACT Regression tests of the expectations theory of the term structure typically reject the n... more ABSTRACT Regression tests of the expectations theory of the term structure typically reject the null hypothesis of orthogonality between implied forecast errors and the yield spreads. In the statistical literature on the term structure, these rejections are sometimes attributed to time-varying liquidity premia, and Engle et al. (1987) suggest that the ARCH-M model of time-variation in the liquidity premium may be sufficient to account for rejections of the expectations theory. We use non-parametric (kernel) regression to explore the regression test results on a number of data sets, and find some evidence of a persistent deviation from orthogonality for large absolute values of the spread. Incorporating ARCH-in-mean into models of the term premium indicates that this specification does explain significant time variation in liquidity premia, but the effect does not apepar to be sufficient to account for all of the deviations from orthogonality of forecast errors and spreads.
The growth rates of real output and real investment are two macroeconomic time series which are p... more The growth rates of real output and real investment are two macroeconomic time series which are particularly difficult to forecast. This paper considers the application of diffusion index forecasting models to this problem. We begin by characterizing the performance of standard forecasts, via recently-introduced measures of predictability and the forecast content, noting the maximum horizon at which the forecasts have value. We then compare diffusion index forecasts with a variety of alternatives, including the forecasts made by the OECD. We find gains in forecast accuracy at short horizons from the diffusion index models, but do not find evidence that the maximum horizon for forecasts can be extended in this way.
... The authors thank Jean-Pierre Florens, Eric Renault, Jim Stock, Alain Trognon, Victoria Zinde... more ... The authors thank Jean-Pierre Florens, Eric Renault, Jim Stock, Alain Trognon, Victoria Zinde-Walsh, two anonymous referees as well as seminar participants at the Universite Libre de Bruxelles, the University of Bristol, the 1993 Meetings of the ... 152 CAMPBELL AND DUFOUR ...
Recent research has examined apparent deviations from the expectations theory of the term structu... more Recent research has examined apparent deviations from the expectations theory of the term structure detectable in regression tests, which may be interpreted as efficiency tests. Efficiency is rejected in many studies. Inference is complicated, however, by the non-normality of regression residuals, invalidating standard parametric test procedures. The present paper examines these rejections using robust diagnostic methods and non-parametric tests. We find some evidence against the expectations theory of the term structure in U.S. data, but not in Canadian. We also investigate the possible explanation of a link between forecast error and the yield spread through models of timevariation in the liquidity premium.
Canadian Public Policy / Analyse de Politiques, 2006
Cet article 6value la performance, en matiere de previsions, des institutions financieres et des ... more Cet article 6value la performance, en matiere de previsions, des institutions financieres et des firmes de pr6visions canadiennes entre 1984 et 2003. La p6riode de temps qui sert d'6chantillon est environ le double de celle d'une etude antdrieure. Nous divisons la ...
Uploads
Papers by Bryan Campbell