G - Financial Economics
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The reliance of Canadians on credit card debt as a predictor of financial stress
I analyze the relationship between carrying a credit card balance and future financial stress. I find that carrying a balance significantly increases the likelihood that credit card holders miss future debt payments. This likelihood tends to rise as credit card balances grow and are held for long periods. -
Could all-to-all trading improve liquidity in the Government of Canada bond market?
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. -
The Ecology of Automated Market Makers
This paper describes the ecology of automated market makers, which are the most popular decentralized exchange model for the pricing and trading of crypto assets within decentralized finance. -
Analysis of DeFi Oracles
Oracles are constructs used in decentralized finance to price assets relative to each other. However, oracles contain defects that could lead to manipulation attacks. Such attacks exploit pricing models embedded within oracles to defraud creators and users. We automatically verify defects, which if mitigated, improves the security of digital currency. -
Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada
We present two models for long-term inflation expectations and inflation risk premiums for Canada. -
How big is cash-futures basis trading in Canada’s government bond market?
Cash-futures basis trading has grown alongside the Government of Canada bond futures market. We examine this growth over time in relation to Government of Canada bond and repurchase agreement markets and provide details on the type of market participants that engage in this type of trading activity. -
Non-bank financial intermediation: Canada’s submission to the 2023 global monitoring report
We share insights from Canadian data from 2002 to 2022 that the Bank of Canada collected. The Bank submits these data each year to the Financial Stability Board for inclusion in its Global Monitoring Report on Non-Bank Financial Intermediation. -
Central Bank Liquidity Policy in Modern Times
Across several dimensions of lender of last resort policy, I highlight broad changes that have occurred since the 2008–09 global financial crisis and discuss some of the key challenges, choices and considerations facing the designers of central bank liquidity tools today. -
Impacts of interest rate hikes on the consumption of households with a mortgage
We assess how much the recent rate-hike cycle has and will affect mortgage borrowers' consumption through its impacts on mortgage payments. Our analysis provides insights into the effects of changes in monetary policy on the consumption of mortgage borrowers.