Market structure and pricing

• Portfolio Considerations in Differentiated Product Purchases: An Application to the Japanese Automobile Market

  Staff Working Paper 2011-27 Naoki Wakamori

  Consumers often purchase more than one differentiated product, assembling a portfolio, which might potentially affect substitution patterns of demand and, as a consequence, oligopolistic firms’ pricing strategies.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Market structure and pricing JEL Code(s): D, D4, L, L5, Q, Q5

• Security Transaction Taxes and Market Quality

  Staff Working Paper 2011-26 Anna Pomeranets, Daniel G. Weaver

  We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C4, C43, G, G1, G10, G12
• August 18, 2011

  Mortgage Debt and Procyclicality in the Housing Market

  Bank of Canada Review - Summer 2011 Ian Christensen

  This article focuses on the role that loans backed by housing collateral play in amplifying housing booms and, more generally, procyclicality in the housing market. The author uses a model developed to include borrower and lender households, as well as a housing market, to examine the impact that altering the loan-to-value ratio (either permanently or countercyclically) might have on the volatility of house prices and mortgage debt.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Economic models, Financial system regulation and policies, Market structure and pricing

• Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market

  Staff Working Paper 2011-8 Ingrid Lo, Stephen Sapp

  This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price dynamics and trading volume before the announcements in the foreign exchange and other financial markets.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Market structure and pricing JEL Code(s): D, D4, G, G1
• February 17, 2011

  Competition in the Canadian Mortgage Market

  Bank of Canada Review - Winter 2010-2011 Jason Allen

  This article begins with a brief examination of the Canadian mortgage market, focusing on the market’s evolution following changes to the Bank Act in 1992, which allowed chartered banks to enter the trust business, and the subsequent entrance of virtual banks and mortgage brokers.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Interest rates, Market structure and pricing, Monetary policy transmission
• February 17, 2011

  Adverse Selection and Financial Crises

  Bank of Canada Review - Winter 2010-2011 Koralai Kirabaeva

  The recent financial crisis has highlighted the importance of adverse selection as a contributing factor to financial market instability.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial stability, Financial system regulation and policies, Market structure and pricing

• Private Information Flow and Price Discovery in the U.S. Treasury Market

  Staff Working Paper 2011-5 George Jiang, Ingrid Lo

  Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S. Treasury securities.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G14

• Building New Plants or Entering by Acquisition? Estimation of an Entry Model for the U.S. Cement Industry

  Staff Working Paper 2011-1 Héctor Pérez Saiz

  In many industries, firms usually have two choices when expanding into new markets: They can either build a new plant (greenfield entry) or they can acquire an existing incumbent. In the U.S. cement industry, the comparative advantage (e.g., TFP or size) of entrants versus incumbents and regulatory entry barriers are important factors that determine the means of expansion.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing, Productivity JEL Code(s): L, L1, L13, L4, L40, L6, L61