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1901
result(s)
The “Too Big to Fail” Subsidy in Canada: Some Estimates
Staff Working Paper 2018-9
Patricia Palhau Mora
Implicit government guarantees of banking-sector liabilities reduce market discipline by private sector stakeholders and temper the risk sensitivity of funding costs. This potentially increases the likelihood of bailouts from taxpayers, especially in the absence of effective resolution frameworks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G1,
G13,
G2,
G21,
G28
High-Frequency Trading and Institutional Trading Costs
Staff Working Paper 2018-8
Marie Chen,
Corey Garriott
Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1,
L10
Adverse Selection with Heterogeneously Informed Agents
Staff Working Paper 2018-7
Mohammad Davoodalhosseini
A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high quality assets. Heterogeneous sellers with private information choose what type of buyers they want to trade with.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D4,
D40,
D8,
D82,
D83,
G,
G0,
G01,
G1,
G10,
G2,
G20
The Government of Canada Debt Securities Data Set
Technical Report No. 112
Jeffrey Gao,
Francisco Rivadeneyra,
Gabriel Rodriguez Rondon
We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Debt management,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C8,
C80,
G,
G1,
G10,
H,
H6,
H63
Home Equity Extraction and the Boom-Bust Cycle in Consumption and Residential Investment
Staff Working Paper 2018-6
Xiaoqing Zhou
The consumption boom-bust cycle in the 2000s coincided with large fluctuations in the volume of home equity borrowing. Contrary to conventional wisdom, I show that homeowners largely borrowed for residential investment and not consumption.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Economic models,
Housing
JEL Code(s):
D,
D1,
E,
E2,
E3
Government of Canada Securities in the Cash, Repo and Securities Lending Markets
Staff Discussion Paper 2018-4
Narayan Bulusu,
Sermin Gungor
This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Wholesale funding
JEL Code(s):
G,
G1,
G12,
G2,
G21,
G23
What Drives Interbank Loans? Evidence from Canada
Staff Working Paper 2018-5
Narayan Bulusu,
Pierre Guérin
We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Wholesale funding
JEL Code(s):
C,
C5,
C55,
E,
E4,
E43,
G,
G2,
G23
A Calibrated Model of Intraday Settlement
Staff Discussion Paper 2018-3
Héctor Pérez Saiz,
Siddharth Untawala,
Gabriel Xerri
This paper estimates potential exposures, netting benefits and settlement gains by merging retail and wholesale payments into batches and conducting multiple intraday settlements in this hypothetical model of a single "calibrated payments system." The results demonstrate that credit risk exposures faced by participants in the system are largely dependent on their relative activity in the retail and wholesale payments systems.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C5,
C58,
G,
G2,
G21,
G23
Non-linéarité de la courbe de Phillips : un survol de la littérature
Staff Analytical Note 2018-3
Renaud St-Cyr
The paper reviews evidence from the economic literature on the nature of the relationship between excess capacity and inflation, better known as the Phillips curve. In particular, we examine the linearity of this relationship. This is an important issue in the current economic context in which advanced economies are approaching or exceed their potential output.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Inflation and prices,
International topics
JEL Code(s):
E,
E3,
E31,
E32