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451
result(s)
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
On the Tail Risk Premium in the Oil Market
Staff Working Paper 2017-46
Reinhard Ellwanger
This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C5,
C53,
C58,
D,
D8,
D84,
E,
E4,
E44,
G,
G1,
G12,
G13,
Q,
Q4,
Q43
November 16, 2017
An Initial Assessment of Changes to the Bank of Canada’s Framework for Market Operations
The Bank of Canada made changes to several of the tools that make up its framework for operations and liquidity provision. These changes came about after a comprehensive re-view of the framework and are designed to help the Bank better achieve its objectives of reinforcing the target for the overnight rate and supporting the well-functioning of Cana-dian financial markets under normal market conditions.
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,
E44,
E5,
E52,
E58,
G,
G0,
G01,
G1,
G18
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
Measuring Limits of Arbitrage in Fixed-Income Markets
Staff Working Paper 2017-44
Jean-Sébastien Fontaine,
Guillaume Nolin
We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
International financial markets
JEL Code(s):
G,
G1,
G12
Do Canadian Broker-Dealers Act as Agents or Principals in Bond Trading?
Staff Analytical Note 2017-11
Daniel Hyun,
Jesse Johal,
Corey Garriott
Technology, risk tolerance and regulation may influence dealers to reduce their trading as principals (using their own balance sheets for sales and purchases of securities) in favour of agency trading (matching client trades).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing,
Recent economic and financial developments
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1
Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
Staff Working Paper 2017-35
Christiane Baumeister,
Reinhard Ellwanger,
Lutz Kilian
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Recent economic and financial developments
JEL Code(s):
Q,
Q1,
Q18,
Q2,
Q28,
Q4,
Q42,
Q5,
Q58
Has Liquidity in Canadian Government Bond Markets Deteriorated?
Staff Analytical Note 2017-10
Sermin Gungor,
Jun Yang
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
How to Predict Financial Stress? An Assessment of Markov Switching Models
Staff Working Paper 2017-32
Benjamin Klaus,
Thibaut Duprey
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Financial markets,
Financial stability,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
C,
C5,
C54,
G,
G0,
G01,
G1,
G15