G - Financial Economics

• High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market

  Staff Working Paper 2014-56 George Jiang, Ingrid Lo, Giorgio Valente

  This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G10, G12, G14

• Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?

  Staff Working Paper 2014-55 Michael Mueller

  Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C18, G, G3, G32
• December 10, 2014

  Exchange-Traded Funds: Evolution of Benefits, Vulnerabilities and Risks

  Financial System Review - December 2014 Ian Foucher, Kyle Gray

  Ian Foucher and Kyle Gray explain the different types of exchange-traded funds (ETFs), which present both benefits and risks for investors. They discuss ways in which the risk characteristics of certain ETF products could have broader implications for the financial system, and describe the evolution of ETF market structure and regulation in different jurisdictions as authorities try to mitigate risks related to ETFs.

  Content Type(s): Publications, Financial System Review articles Topic(s): Financial markets, Financial stability, Market structure and pricing JEL Code(s): G, G1, G14, G18, G2, G20
• December 10, 2014

  Cyber Security: Protecting the Resilience of Canada’s Financial System

  Financial System Review - December 2014 Harold Gallagher, Wade McMahon, Ron Morrow

  Harold Gallagher, Wade McMahon and Ron Morrow examine the various sources of cyber attacks and their potential for systemic risk. Against this background, the report highlights efforts being made to protect against cyber-security threats, including individual and collective actions by financial institutions and financial market infrastructures, as well as initiatives by international organizations, regulatory authorities and governments. The authors then describe the coordination, under the Joint Operational Resilience Management program, of private and public sector actions in Canada for managing and testing capabilities during severe operational events such as cyber attacks.

  Content Type(s): Publications, Financial System Review articles Topic(s): Financial stability, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): G, G2, G20, G23, G28