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449
result(s)
June 9, 2016
Securities Financing and Bond Market Liquidity
This report investigates how the markets for repurchase agreements and securities-lending agreements support the liquidity of Canadian bond markets. It also discusses how recent regulatory changes, as well as low interest rates and settlement failures, are potentially affecting securities-financing markets and, as a result, bond market liquidity.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G2
Estimating Systematic Risk Under Extremely Adverse Market Conditions
Staff Working Paper 2016-22
Maarten van Oordt,
Chen Zhou
This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
G,
G0,
G01
Retail Order Flow Segmentation
Staff Working Paper 2016-20
Corey Garriott,
Adrian Walton
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders.
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
Dating Systemic Financial Stress Episodes in the EU Countries
Staff Working Paper 2016-11
Benjamin Klaus,
Tuomas Peltonen,
Thibaut Duprey
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
C,
C5,
C54,
G,
G0,
G01,
G1,
G15
A Framework in Search of an Optimal Margining Policy for Official Institutions: The Canadian Experience
Staff Discussion Paper 2016-9
Tomo Nakashima,
Mihai Cosma,
Boran Plong
One of the main outcomes of the global financial crisis has been a series of new regulations imposed on the financial system and specifically on banks.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Foreign reserves management
JEL Code(s):
G,
G3,
G32
Canadian Repo Market Ecology
Staff Discussion Paper 2016-8
Corey Garriott,
Kyle Gray
This is the first of the Financial Markets Department’s descriptions of Canadian financial industrial organization. The document discusses the organization of the repurchase-agreement (repo) market in Canada.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G18,
G2,
G21,
G23
Wait a Minute: The Efficacy of Discounting versus Non-Pecuniary Payment Steering
Staff Working Paper 2016-8
Angelika Welte
Merchants who accept credit cards face payment processing fees. In most countries, the no-surcharge rule prohibits them from using surcharges to pass these fees on to customers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
D,
D1,
D12,
E,
E5,
E58,
G,
G2,
G28
November 19, 2015
The Effect of Regulatory Changes on Monetary Policy Implementation Frameworks
This article provides an analysis of some recent banking regulatory initiatives that are likely to influence the activities of financial intermediaries and the effectiveness of central bank monetary policy implementation frameworks. Although the effects of individual regulations can be anticipated in most cases, the combined regulatory impact is not yet clear. Central banks should, however, be able to accommodate the effects of the emerging regulatory environment within their existing policy implementation frameworks.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Monetary policy implementation
JEL Code(s):
E,
E5,
E52,
G,
G2,
G21,
L,
L5,
L50
The International Experience with Negative Policy Rates
Staff Discussion Paper 2015-13
Harriet Jackson
A key issue in the renewal of the inflation-control agreement is the question of the appropriate level of the inflation target. Many observers have raised concerns that with the reduction in the neutral rate, and the experience of the recent financial crisis, the effective lower bound (ELB) is more likely to be binding in the future if inflation targets remain at 2 per cent.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Financial markets,
International topics,
Monetary policy framework
JEL Code(s):
E,
E5,
E52,
E58,
E6,
E65