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287
result(s)
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
Wages: Measurement and Key Drivers
Staff Analytical Note 2018-2
Dany Brouillette,
Jonathan Lachaine,
Benoit Vincent
Available sources of hourly wage data in Canada sometimes send conflicting signals about wage growth. This note thus has two objectives: first, we develop a wage measure—the wage-common—to better capture the (underlying) wage pressures reflecting the common trend across the available data sources. Second, we re-examine the relationship between wage growth and macro drivers (labour market slack and labour productivity).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Econometric and statistical methods,
Labour markets,
Recent economic and financial developments
JEL Code(s):
C,
C3,
C38,
J,
J3
Speed Segmentation on Exchanges: Competition for Slow Flow
Staff Working Paper 2018-3
Lisa Anderson,
Emad Andrews,
Baiju Devani,
Michael Mueller,
Adrian Walton
In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G24
The Impacts of Minimum Wage Increases on the Canadian Economy
Staff Analytical Note 2017-26
Dany Brouillette,
Daniel Gao,
Olivier Gervais,
Calista Cheung
This note reviews the channels through which scheduled minimum wage increases over the coming years may affect Canadian economic activity and inflation and assesses their macroeconomic impacts. From reduced-form estimates of direct minimum wage pass-through, we find that consumer price index (CPI) inflation could be boosted by about 0.1 percentage point (pp) on average in 2018.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24,
J,
J2,
J21,
J22,
J23
Wage Dynamics and Returns to Unobserved Skill
Staff Working Paper 2017-61
Lance Lochner,
Youngmin Park,
Youngki Shin
Economists disagree about the factors driving the substantial increase in residual wage inequality in the U.S. over the past few decades. We identify and estimate a general model of log wage residuals that incorporates: (i) changing returns to unobserved skills, (ii) a changing distribution of unobserved skills, and (iii) changing volatility in wages due to factors unrelated to skills.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Labour markets
JEL Code(s):
C,
C2,
C23,
J,
J2,
J24,
J3,
J31
What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?
Staff Working Paper 2017-54
Jean-Sébastien Fontaine,
James Pinnington,
Adrian Walton
We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
G,
G1,
G2,
G21,
L,
L1
Identifying the Degree of Collusion Under Proportional Reduction
Staff Working Paper 2017-51
Oleksandr Shcherbakov,
Naoki Wakamori
Proportional reduction is a common cartel practice in which cartel members reduce their output proportionately. We develop a method to quantify this reduction relative to a benchmark market equilibrium scenario and relate the reduction to the traditional conduct parameter.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C3,
C36,
D,
D2,
D22,
L,
L4,
L41
Digitalization and Inflation: A Review of the Literature
Staff Analytical Note 2017-20
Karyne B. Charbonneau,
Alexa Evans,
Subrata Sarker,
Lena Suchanek
In the past few years, many have postulated that the possible disinflationary effects of digitalization could explain the subdued inflation in advanced economies. In this note, we review the evidence found in the literature. We look at three main channels.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Inflation and prices,
Market structure and pricing,
Productivity
JEL Code(s):
D,
D2,
D22,
E,
E3,
E31,
L,
L8,
L81,
O,
O3,
O33