Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
449
result(s)
February 17, 2011
Competition in the Canadian Mortgage Market
This article begins with a brief examination of the Canadian mortgage market, focusing on the market’s evolution following changes to the Bank Act in 1992, which allowed chartered banks to enter the trust business, and the subsequent entrance of virtual banks and mortgage brokers.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Interest rates,
Market structure and pricing,
Monetary policy transmission
February 17, 2011
Adverse Selection and Financial Crises
The recent financial crisis has highlighted the importance of adverse selection as a contributing factor to financial market instability.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial stability,
Financial system regulation and policies,
Market structure and pricing
February 17, 2011
Conference Summary: Financial Globalization and Financial Instability
The Bank of Canada’s annual conference, held in October 2010, brought together leading researchers from universities and central banks around the world.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Central bank research,
Financial markets,
Financial stability,
Financial system regulation and policies
Private Information Flow and Price Discovery in the U.S. Treasury Market
Staff Working Paper 2011-5
George Jiang,
Ingrid Lo
Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S. Treasury securities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G14
Building New Plants or Entering by Acquisition? Estimation of an Entry Model for the U.S. Cement Industry
Staff Working Paper 2011-1
Héctor Pérez Saiz
In many industries, firms usually have two choices when expanding into new markets: They can either build a new plant (greenfield entry) or they can acquire an existing incumbent. In the U.S. cement industry, the comparative advantage (e.g., TFP or size) of entrants versus incumbents and regulatory entry barriers are important factors that determine the means of expansion.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing,
Productivity
JEL Code(s):
L,
L1,
L13,
L4,
L40,
L6,
L61
Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Staff Working Paper 2010-36
Sermin Gungor,
Richard Luger
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C14,
C3,
C33,
G,
G1,
G11,
G12
Bank Competition and International Financial Integration: Evidence Using a New Index
Staff Working Paper 2010-35
Gurnain Pasricha
This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
International topics
JEL Code(s):
F,
F3,
F32,
G,
G1,
G15,
G2,
G21
Adverse Selection, Liquidity, and Market Breakdown
Staff Working Paper 2010-32
Koralai Kirabaeva
This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Even a small amount of adverse selection in the asset market can lead to fire-sale pricing and possibly to a market breakdown if it is accompanied by a flight-to-liquidity, a misassessment of systemic risk, or uncertainty about asset values.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
D,
D8,
D82,
G,
G0,
G01,
G1,
G11
Text Mining and the Information Content of Bank of Canada Communications
Staff Working Paper 2010-31
Scott Hendry,
Alison Madeley
This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Monetary policy implementation
JEL Code(s):
E,
E5,
E58,
G,
G1,
G14