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385
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
What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
Staff Working Paper 2016-61
Jean-Sébastien Fontaine
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E44,
E47,
G,
G1,
G12,
G13
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
December 15, 2016
Toward More Resilient Markets: Over-the-Counter Derivatives Reform in Canada
In Toward More Resilient Markets: Over-the-Counter Derivatives Reform in Canada, Michael Mueller and André Usche show that the implementation of derivatives market reforms in Canada is well under way and has lessened vulnerabilities. But accompanying changes to market structure have both positive and negative effects that require ongoing attention from authorities.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G1,
G15,
G2,
G28
December 15, 2016
Monitoring Shadow Banking in Canada: A Hybrid Approach
Financial System Review - December 2016
Bo Young Chang,
Gitanjali Kumar,
André Usche,
Michael Januska
In Monitoring Shadow Banking in Canada: A Hybrid Approach, Bo Young Chang, Michael Januska, Gitanjali Kumar and André Usche discuss how lending that occurs outside the traditional banking system provides benefits to the economy but must be monitored carefully for potential financial sector vulnerabilities. They describe how the Bank defines and measures shadow banking and how it assesses vulnerabilities in the sector, using an approach that examines both markets and entities.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G0,
G01,
G2,
G23
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
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
November 17, 2016
Market Operations and Liquidity Provision at the Bank of Canada
The Bank of Canada’s framework for market operations and liquidity provision describes how and when central bank liquidity might be offered with regards to the implementation of monetary policy and for supporting the stability of the Canadian financial system. Market participants can therefore plan their transactions knowing that the Bank stands ready to help manage system liquidity to support its objectives for monetary policy and financial stability.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial markets,
Financial stability,
Monetary policy framework,
Monetary policy implementation,
Monetary policy transmission,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E52,
E58,
G,
G0,
G01
Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases
Staff Working Paper 2016-46
Martin Kuncl
Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
E,
E3,
E32,
E5,
G,
G0,
G01,
G2