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November 15, 1999
Markets for Government of Canada Securities in the 1990s: Liquidity and Cross-Country Comparisons
In this article, the author reviews the factors behind the recent evolution of liquidity in the market for Government of Canada (GoC) securities. He finds that liquidity has been supported by changes in the structure of the market, notably the introduction and increasing size of benchmark bond issues. He also notes that while the GoC bond market has generally benefited from changes in market structure, liquidity in the treasury bill market has decreased since the mid-1990s, largely because of the declining supply of these securities. This article also presents some comparisons of liquidity in the government securities markets of other industrialized countries and finds that liquidity in the Canadian market appears to compare favourably with all but the large U.S. Treasury market. -
The Bank of Canada’s “Horse Race” of Alternative Monetary Policy Frameworks: Some Interim Results from Model Simulations
Bank of Canada staff are running a “horse race” of alternative monetary policy frameworks in the lead-up to 2021 renewal of the Bank’s monetary policy framework. This paper summarizes some interim results of model simulations from their research. -
Trading on Long-term Information
Investors who trade based on good research are said to be the backbone of stock markets: They conduct research to discover the value of stocks and, through their trading, guide financial prices to reflect true value. What can make their job difficult is that high-speed, short-term traders could use machine learning and other technologies to infer when informed investors are trading. -
October 30, 2013
Research Update - October 2013
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. -
Cyclical Behavior of Debt and Equity Using a Panel of Canadian Firms
We document the cyclical behavior of debt, equity, and retained earnings for different firm categories using firm-level Canadian data. -
Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models
We use graphic processing unit computing to compare Bayesian and sample theory semiparametric binary response models. Our findings show that optimal bandwidth does not outperform regular bandwidth in binary semiparametric models. -
Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities
This paper assesses the effectiveness and associated externalities that arise when macroprudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the period 1999-2009. -
Monetary Policy and Racial Inequality in Housing Markets: A Study of 140 US Metropolitan Areas
We find that minority households see greater declines in housing returns and entries into homeownership than White households after a tightening of monetary policy. Our findings emphasize the unintended consequences of monetary policy on racial inequality in the housing market. -
Rediscounting Under Aggregate Risk with Moral Hazard
Freeman (1999) proposes a model in which discount window lending and open market operations have different effects. This is important because in most of the literature, these policies are indistinguishable.