Adrian Walton - Latest

• Fixed-income dealing and central bank interventions

  Staff Analytical Note 2022-9 David Cimon, Adrian Walton

  We summarize the theoretical model of central bank asset purchases developed in Cimon and Walton (2022). The model helps us understand how asset purchases ease pressures on investment dealers to restore market conditions in a crisis.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Coronavirus disease (COVID-19), Economic models, Financial institutions, Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G2, G20, L, L1, L10

• Potential netting benefits from expanded central clearing in Canada’s fixed-income market

  Staff Analytical Note 2022-8 Jessie Ziqing Chen, Johannes Chen, Shamarthi Ghosh, Manu Pandey, Adrian Walton

  We assess whether more central clearing would enhance the resilience of Canadian fixed-income markets. Our analysis estimates the potential benefits of balance sheet netting under scenarios where central clearing is expanded to new participants.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Credit risk management, Financial institutions, Financial markets JEL Code(s): D, D4, G, G1, G12, G2, G21, G29

• Historical Data on Repurchase Agreements from the Canadian Depository for Securities

  Technical Report No. 121 Maxim Ralchenko, Adrian Walton

  We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research.

  Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C5, C55, C8, C81, G, G1, G10

• Central Bank Liquidity Facilities and Market Making

  Staff Working Paper 2022-9 David Cimon, Adrian Walton

  We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers.

  Content Type(s): Staff research, Staff working papers Topic(s): Coronavirus disease (COVID-19), Economic models, Financial institutions, Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G2, G20, L, L1, L10