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287
result(s)
Repo Market Functioning when the Interest Rate Is Low or Negative
Staff Discussion Paper 2017-3
Jean-Sébastien Fontaine,
James Hately,
Adrian Walton
This paper investigates how a low or negative overnight interest rate might affect the Canadian repo markets. The main conclusion is that the repo market for general collateral will continue to function effectively.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Interest rates,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G1,
G10,
G12
Information Sharing and Bargaining in Buyer-Seller Networks
Staff Working Paper 2016-63
Sofia Priazhkina,
Frank H. Page
This paper presents a model of strategic buyer-seller networks with information exchange between sellers. Prior to engaging in bargaining with buyers, sellers can share access to buyers for a negotiated transfer. We study how this information exchange affects overall market prices, volumes and welfare, given different initial market conditions and information sharing rules.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Firm dynamics,
Market structure and pricing
JEL Code(s):
C,
C7,
C71,
C78,
D,
D2,
D21,
D4,
D43,
D8,
D85,
L,
L1,
L13
Equity Option-Implied Probability of Default and Equity Recovery Rate
Staff Working Paper 2016-58
Bo Young Chang,
Greg Orosi
There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G13,
G3,
G33
Options Decimalization
Staff Working Paper 2016-57
Faith Chin,
Corey Garriott
We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options.
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
Firm-Specific Shocks and Aggregate Fluctuations
Staff Working Paper 2016-51
Leonid Karasik,
Danny Leung,
Ben Tomlin
In order to understand what drives aggregate fluctuations, many macroeconomic models point to aggregate shocks and discount the contribution of firm-specific shocks. Recent research from other developed countries, however, has found that aggregate fluctuations are in part driven by idiosyncratic shocks to large firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Firm dynamics,
Market structure and pricing
JEL Code(s):
E,
E2,
E22,
E23,
E24,
E3,
L,
L6
Broker Routing Decisions in Limit Order Markets
Staff Working Paper 2016-50
David Cimon
The primary focus of this paper is to study conflict of interest in the brokerage market. Brokers face a conflict of interest when the commissions they receive from investors differ from the costs imposed by different trading venues.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G2,
G24,
G28
Downward Nominal Wage Rigidity in Canada: Evidence from Micro- Level Data
Staff Working Paper 2016-40
Dany Brouillette,
Olena Kostyshyna,
Natalia Kyui
We assess the importance of downward nominal wage rigidity (DNWR) in Canada using both firm- and worker-level microdata. In particular, we analyze employer-level administrative data from the Major Wage Settlements (MWS) and household-based survey data from the Survey of Labour Income Dynamics (SLID).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Labour markets
JEL Code(s):
E,
E2,
E24,
J,
J3,
J30
The US Labour Market: How Much Slack Remains?
Staff Analytical Note 2016-9
Robert Fay,
James Ketcheson
Despite the US unemployment rate being close to estimates of the non-accelerating-inflation rate of unemployment (NAIRU), measures of underemployment remain elevated, which could be an indication of remaining labour market slack. The shares of involuntary part-time workers and long-term unemployment are high relative to the current stage of the business cycle, suggesting available labour inputs are being underutilized.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
International topics,
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24,
J,
J2,
J21,
J23
Un examen plus approfondi des pressions salariales au Canada
Staff Analytical Note 2016-6
Dany Brouillette,
Laurence Savoie-Chabot
In this note, we provide a brief outline of the recent developments in wage measures in Canada. We then assess whether wage growth is consistent with its fundamentals.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Productivity
JEL Code(s):
E,
E2,
E24,
J,
J3,
J30