October 3, 2006
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451
result(s)
Credit in a Tiered Payments System
Staff Working Paper 2006-36
Alexandra Lai,
Nikil Chande,
Sean O'Connor
Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G21,
L,
L1,
L12,
L13,
L2,
L22
Multinationals and Exchange Rate Pass-Through
Staff Working Paper 2006-30
Alexandra Lai,
Oana Secrieru
The authors examine the impact of multinational enterprises (MNEs) on exchange rate pass-through in an environment where an MNE engages in Cournot (quantity) competition with domestic and foreign rivals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Exchange rates,
Market structure and pricing
JEL Code(s):
F,
F2,
F23,
L,
L1,
L16
Estimation of the Default Risk of Publicly Traded Canadian Companies
Staff Working Paper 2006-28
Georges Dionne,
Sadok Laajimi,
Sofiane Mejri,
Madalina Petrescu
Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Debt management,
Econometric and statistical methods,
Financial markets,
Recent economic and financial developments
JEL Code(s):
G,
G2,
G21,
G24,
G28,
G3,
G33
Benchmark Index of Risk Appetite
Staff Working Paper 2006-16
Miroslav Misina
Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets
JEL Code(s):
G,
G1,
G12
April 12, 2006
The Evolution of the Government of Canada's Debt Distribution Framework
This overview includes a brief history highlighting the government's use of the primary and secondary markets to develop a framework for distributing its debt securities to financial market intermediaries and end investors. The framework is also intended to meet the government's debt-strategy objectives of raising stable, low-cost funding and maintaining a well-functioning debt market. Pellerin reviews the government's adoption of a new framework in 1998 as well as the 2005 modifications aimed at attracting continued broad and competitive participation in government auctions.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Financial markets
A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
Staff Working Paper 2006-8
Ingrid Lo,
Stephen Sapp
Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
C,
C3,
D,
D8,
F,
F3,
F31
Order Submission: The Choice between Limit and Market Orders
Staff Working Paper 2005-42
Ingrid Lo,
Stephen Sapp
Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial institutions,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G1
October 18, 2005
What Drives Movements in Exchange Rates?
Understanding what causes the exchange rate to move has been on ongoing challenge for economists. Despite extensive research, traditional macro models of exchange rate determination—with the exception of the Bank of Canada's exchange rate equation—have typically not fared well, motivating economists to explore new ways to model exchange rate movements that incorporate more complex and realistic settings. Within the context of the sharp appreciation of the Canadian dollar in 2003 and 2004, Bailliu and King review the macroeconomic models of exchange rates, as well as the micro-structure studies that highlight the importance of trading mechanisms, information asymmetry, and investor heterogeneity for explaining short-term dynamics in exchange rates. In addition to summarizing the current state of knowledge, they highlight recent advances and identify promising alternative approaches.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Economic models,
Exchange rates,
Financial markets
Uninsured Idiosyncratic Production Risk with Borrowing Constraints
Staff Working Paper 2005-26
Francisco Covas
The author analyzes a general-equilibrium model of a heterogeneous agents economy in which the agents are subject to borrowing constraints and uninsurable idiosyncratic production risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial institutions,
Financial markets
JEL Code(s):
E,
E2,
E22,
G,
G1,
G11,
M,
M1,
M13