Staff research

• May 30, 2014

  Research Update - May 2014

  This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.

  Content Type(s): Staff research, Research newsletters

• High-Frequency Trading Competition

  Staff Working Paper 2014-19 Jonathan Brogaard, Corey Garriott, Anna Pomeranets

  We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1

• Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets

  Staff Working Paper 2014-18 Giovanni Giusti, Janet Hua Jiang, Yiping Xu

  We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Financial stability JEL Code(s): C, C9, C90, G, G1, G10

• Multiple Fixed Effects in Binary Response Panel Data Models

  Staff Working Paper 2014-17 Karyne B. Charbonneau

  This paper considers the adaptability of estimation methods for binary response panel data models to multiple fixed effects. It is motivated by the gravity equation used in international trade, where important papers such as Helpman, Melitz and Rubinstein (2008) use binary response models with fixed effects for both importing and exporting countries.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C23, C25, F, F1, F14