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1901
result(s)
High-Frequency Trading Competition
Staff Working Paper 2014-19
Jonathan Brogaard,
Corey Garriott,
Anna Pomeranets
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1
Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets
Staff Working Paper 2014-18
Giovanni Giusti,
Janet Hua Jiang,
Yiping Xu
We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Financial stability
JEL Code(s):
C,
C9,
C90,
G,
G1,
G10
Multiple Fixed Effects in Binary Response Panel Data Models
Staff Working Paper 2014-17
Karyne B. Charbonneau
This paper considers the adaptability of estimation methods for binary response panel data models to multiple fixed effects. It is motivated by the gravity equation used in international trade, where important papers such as Helpman, Melitz and Rubinstein (2008) use binary response models with fixed effects for both importing and exporting countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C2,
C23,
C25,
F,
F1,
F14
E-Money: Efficiency, Stability and Optimal Policy
Staff Working Paper 2014-16
Jonathan Chiu,
Tsz-Nga Wong
What makes e-money more special than cash? Is the introduction of e-money necessarily welfare enhancing? Is an e-money system necessarily stable? What is the optimal way to design an efficient and stable e-money scheme?
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E58,
L,
L5,
L51
The Efficiency of Private E-Money-Like Systems: The U.S. Experience with State Bank Notes
Staff Working Paper 2014-15
Warren E. Weber
In the United States prior to 1863 each bank issued its own distinct notes. E-money shares many of the characteristics of these bank notes. This paper describes some lessons relevant to e-money from the U.S. experience with state bank notes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial services
JEL Code(s):
E,
E4,
E41,
E42,
E5,
E58
Electronic Money and Payments: Recent Developments and Issues
Staff Discussion Paper 2014-2
Ben Fung,
Miguel Molico,
Gerald Stuber
The authors review recent developments in retail payments in Canada and elsewhere, with a focus on e-money products, and assess their potential public policy implications.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E41,
E42
Canadian Non-Energy Exports: Past Performance and Future Prospects
Staff Discussion Paper 2014-1
André Binette,
Daniel de Munnik,
Émilien Gouin-Bonenfant
Canada has continued to lose market share in the United States since the Great Recession, beyond what our bilateral competitiveness measures (relative unit labour costs) would suggest.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Balance of payments and components,
Exchange rates
JEL Code(s):
F,
F1,
F10,
F14,
F4,
F43
Uncertain Costs and Vertical Differentiation in an Insurance Duopoly
Staff Working Paper 2014-14
Radoslav Raykov
Classical oligopoly models predict that firms differentiate vertically as a way of softening price competition, but some metrics suggest very little quality differentiation in the U.S. auto insurance market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Market structure and pricing
JEL Code(s):
D,
D4,
D43,
D8,
D81,
G,
G2,
G22,
L,
L2,
L22
Bond Risk Premia and Gaussian Term Structure Models
Staff Working Paper 2014-13
Bruno Feunou,
Jean-Sébastien Fontaine
Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Interest rates
JEL Code(s):
E,
E4,
E43,
E47,
G,
G1,
G12