October 24, 2012
Posts
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Monetary Policy and Cross-Border Interbank Market Fragmentation: Lessons from the Crisis
We present a two-country model featuring risky lending and cross-border interbank market frictions. -
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
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. -
November 19, 2009
The Evolution of the International Monetary System
In response to the worst financial crisis since the 1930s, policy-makers around the globe are providing unprecedented stimulus to support economic recovery and are pursuing a radical set of reforms to build a more resilient financial system. -
September 25, 2023
Bank of Canada settlement account access policy for Lynx and the Automated Clearing Settlement System
This policy establishes the requirements that the applicant must meet for the Bank of Canada to consider granting a settlement account for Lynx or the Automated Clearing Settlement System. Requirements are similar for both systems. -
A New Linear Estimator for Gaussian Dynamic Term Structure Models
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. -
The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation
This paper examines the relationship between the term structure of interest rates and future changes in inflation for Canada using a newly constructed par-value yield series. The main conclusion of the empirical work is that the slope of the nominal term structure from 1- to 5-year maturities is a reasonably good predictor of future changes in inflation over these horizons. -
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Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds
This study examines the impact of increased transparency, brought about by the introduction of three electronic trading systems, on the brokered interdealer market for Government of Canada benchmark securities. Using the CanPX dataset for the 2-, 5-, 10-, and 30-year benchmarks, the paper finds some evidence of decreased bid-ask spreads for the 30-year benchmark in the months following the introduction of the electronic platforms. -
June 12, 2003
Governor Reviews Recent Economic Developments
Bank of Canada Governor David Dodge reviewed some of the developments that are influencing both demand and prices for Canadian goods and services in a speech today to the Conseil du patronat du Québec.