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458
result(s)
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
Who Pays? CCP Resource Provision in the Post-Pittsburgh World
Staff Discussion Paper 2017-17
Jorge Cruz Lopez,
Mark Manning
At the Pittsburgh Summit in 2009, G20 countries announced their commitment to clear all standardized over-the-counter (OTC) derivatives through central counterparties (CCPs). Since then, CCPs have become increasingly important and there has been an extensive program of regulatory enhancements to both them and OTC derivatives markets.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G28
Which Model to Forecast the Target Rate?
Staff Working Paper 2017-60
Bruno Feunou,
Jean-Sébastien Fontaine,
Jianjian Jin
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43
Variance Premium, Downside Risk and Expected Stock Returns
Staff Working Paper 2017-58
Bruno Feunou,
Ricardo Lopez Aliouchkin,
Roméo Tedongap,
Lai Xi
We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
G,
G1,
G12
Credit Crunches from Occasionally Binding Bank Borrowing Constraints
Staff Working Paper 2017-57
Tom D. Holden,
Paul Levine,
Jonathan Swarbrick
We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial markets
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E5,
E51,
G,
G2
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
Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
Staff Analytical Note 2017-23
Jean-Sébastien Fontaine,
Jeffrey Gao,
Jabir Sandhu,
Kobe Wu
This analytical note evaluates the reliability of proxies for measuring liquidity in Canadian bond markets. We find that price-impact and bid-ask proxies paint a similar picture of evolving liquidity conditions to that obtained from richer measures of liquidity for benchmark Government of Canada bonds.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Debt management,
Financial markets
JEL Code(s):
G,
G1,
G12,
G14,
G2,
G23,
G3,
G32
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