G12 - Asset Pricing; Trading volume; Bond Interest Rates

• Foreign exchange risk premiums and global currency factors

  Staff Analytical Note 2024-20 Ingomar Krohn, Mariel Yacolca Maguiña

  Global currency risk factors continue to explain a large share of the variation in the Canadian dollar during the period following the 2008–09 global financial crisis. We show that they are also systematically important for risk premiums, and only in recent months has the role of idiosyncratic country-specific risks grown.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Asset pricing, Exchange rates, International financial markets JEL Code(s): F, F3, F31, G, G1, G12

• Entry and Exit in Treasury Auctions

  Staff Working Paper 2024-29 Jason Allen, Ali Hortaçsu, Eric Richert, Milena Wittwer

  This paper introduces and estimates a structural model of the Canadian primary market for government debt. We assess the role of dealer exit in this market as a key reason for increased, yet irregular, customer entry and quantify the benefits of greater customer competition against the costs of higher market volatility.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Financial institutions, Financial markets, Market structure and pricing JEL Code(s): D, D4, D44, D47, G, G1, G12, G2, G28

• Could all-to-all trading improve liquidity in the Government of Canada bond market?

  Staff Analytical Note 2024-17 Jabir Sandhu, Rishi Vala

  We find that on any given day, nearly half of Government of Canada bond transactions by clients of dealers can be offset with other clients, including during the turmoil in March 2020. Our results show that under certain conditions clients could potentially trade directly with each other and are a step towards understanding the relevance of broader all-to-all trading in the Government of Canada bond market.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Coronavirus disease (COVID-19), Financial institutions, Financial markets, Financial stability, Market structure and pricing JEL Code(s): D, D4, D47, D5, D53, G, G0, G01, G1, G12, G13, G14, G2, G21, G23

• Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada

  Staff Discussion Paper 2024-9 Bruno Feunou, Zabi Tarshi

  We present two models for long-term inflation expectations and inflation risk premiums for Canada.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C58, E, E4, E43, E47, G, G1, G12