Staff research

• Government of Canada Securities in the Cash, Repo and Securities Lending Markets

  Staff Discussion Paper 2018-4 Narayan Bulusu, Sermin Gungor

  This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Wholesale funding JEL Code(s): G, G1, G12, G2, G21, G23

• What Drives Interbank Loans? Evidence from Canada

  Staff Working Paper 2018-5 Narayan Bulusu, Pierre Guérin

  We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Wholesale funding JEL Code(s): C, C5, C55, E, E4, E43, G, G2, G23
• January 31, 2018

  Research Update - January 2018

  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

• A Calibrated Model of Intraday Settlement

  Staff Discussion Paper 2018-3 Héctor Pérez Saiz, Siddharth Untawala, Gabriel Xerri

  This paper estimates potential exposures, netting benefits and settlement gains by merging retail and wholesale payments into batches and conducting multiple intraday settlements in this hypothetical model of a single "calibrated payments system." The results demonstrate that credit risk exposures faced by participants in the system are largely dependent on their relative activity in the retail and wholesale payments systems.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23

• Non-linéarité de la courbe de Phillips : un survol de la littérature

  Staff Analytical Note 2018-3 Renaud St-Cyr

  The paper reviews evidence from the economic literature on the nature of the relationship between excess capacity and inflation, better known as the Phillips curve. In particular, we examine the linearity of this relationship. This is an important issue in the current economic context in which advanced economies are approaching or exceed their potential output.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Inflation and prices, International topics JEL Code(s): E, E3, E31, E32

• Tail Risk in a Retail Payment System: An Extreme-Value Approach

  Staff Discussion Paper 2018-2 Héctor Pérez Saiz, Blair Williams, Gabriel Xerri

  The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23

• Modeling Fluctuations in the Global Demand for Commodities

  Staff Working Paper 2018-4 Lutz Kilian, Xiaoqing Zhou

  It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic activity.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): F, F4, F44, Q, Q1, Q11, Q3, Q31, Q4, Q41, Q43

• Wages: Measurement and Key Drivers

  Staff Analytical Note 2018-2 Dany Brouillette, Jonathan Lachaine, Benoit Vincent

  Available sources of hourly wage data in Canada sometimes send conflicting signals about wage growth. This note thus has two objectives: first, we develop a wage measure—the wage-common—to better capture the (underlying) wage pressures reflecting the common trend across the available data sources. Second, we re-examine the relationship between wage growth and macro drivers (labour market slack and labour productivity).

  Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Labour markets, Recent economic and financial developments JEL Code(s): C, C3, C38, J, J3

• Canada’s Experience with Trade Policy

  Staff Discussion Paper 2018-1 Karyne B. Charbonneau, Daniel de Munnik, Laura Murphy

  This paper compiles the contemporary view on three major Canadian-led trade policies that have marked Canada’s economic history since Confederation: the National Policy (1879), the Canada–US Agreement on Automotive Products (Auto Pact, 1965) and the Canada–US Free Trade Agreement (FTA, 1989, including its extension to the North American Free Trade Agreement, NAFTA, 1994).

  Content Type(s): Staff research, Staff discussion papers Topic(s): International topics, Trade integration JEL Code(s): F, F1, F13, N, N7, N71, N72

• Speed Segmentation on Exchanges: Competition for Slow Flow

  Staff Working Paper 2018-3 Lisa Anderson, Emad Andrews, Baiju Devani, Michael Mueller, Adrian Walton

  In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G14, G2, G24