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449
result(s)
COVID-19 Crisis: Lessons Learned for Future Policy Research
Staff Discussion Paper 2021-2
Jean-Sébastien Fontaine,
Corey Garriott,
Jesse Johal,
Jessica Lee,
Andreas Uthemann
One year later, we review the events that took place in Canadian fixed-income markets at the beginning of the COVID-19 crisis and propose potential policy research questions for future work.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Coronavirus disease (COVID-19),
Financial markets,
Monetary policy
JEL Code(s):
D,
D4,
D47,
E,
E4,
E41,
E5,
G,
G0,
G01,
G1,
G14,
G2,
G20,
G21,
G23
Market Concentration and Uniform Pricing: Evidence from Bank Mergers
Staff Working Paper 2021-9
João Granja,
Nuno Paixao
We show that US banks price deposits almost uniformly across their branches and that this pricing practice is more important than increases in local market concentration in explaining the deposit rate dynamics following bank mergers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G2,
G20,
G21,
G28,
G3,
G34,
L,
L1,
L11
Distributional Effects of Payment Card Pricing and Merchant Cost Pass-through in Canada and the United States
Staff Working Paper 2021-8
Marie-Hélène Felt,
Fumiko Hayashi,
Joanna Stavins,
Angelika Welte
Although credit cards are more expensive for merchants to accept than cash or debit cards, merchants typically pass through their costs evenly to all customers. Along with consumer card rewards and banking fees, this creates cross-subsidies between payment methods. Because higher-income individuals tend to use credit cards more than those with lower incomes, our results indicate that these cross-subsidies might lead to regressive distributional effects.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Financial institutions,
Financial services,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
D,
D1,
D12,
D2,
D23,
D3,
D31,
E,
E4,
E42,
G,
G2,
G21,
L,
L8,
L81
Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service
Staff Working Paper 2020-55
Lerby Ergun,
Andreas Uthemann
We look at the informational content of consensus pricing in opaque over-the-counter markets. We show that the availability of price data informs participants mainly about other participants’ valuations, rather than about the value of a financial security.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C5,
C58,
D,
D5,
D53,
D8,
D83,
G,
G1,
G12,
G14
Concentration in the market of authorized participants of US fixed-income exchange-traded funds
Staff Analytical Note 2020-27
Rohan Arora,
Sébastien Betermier,
Guillaume Ouellet Leblanc,
Adriano Palumbo,
Ryan Shotlander
We show that a small number of authorized participants (APs) actively create and redeem shares of US-listed fixed-income exchange-traded funds (FI-ETFs). In 2019, three APs performed 82 percent of gross creations and redemptions of FI-ETF shares. In contrast, the group of active APs for equity ETFs was much more diverse.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23
Outside Investor Access to Top Management: Market Monitoring versus Stock Price Manipulation
Staff Working Paper 2020-43
Josef Schroth
Should managers be paid in stock options if they provide stock-market participants with information about the firm? This paper studies how firm owners trade off the benefit of stock-price incentives and better-informed market participants against the cost of potential stock-price manipulation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Recent economic and financial developments
JEL Code(s):
D,
D8,
D82,
D86,
G,
G1,
G14,
G3,
G32,
G34,
M,
M1,
M12,
M4,
M41
Announcing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study
Staff Analytical Note 2020-23
Rohan Arora,
Sermin Gungor,
Kaetlynd McRae,
Jonathan Witmer
The Bank of Canada launched the Bankers’ Acceptance Purchase Facility (BAPF) to ensure that the bankers’ acceptance (BA) market could continue to function well during the financial crisis induced by the COVID‑19 pandemic. We review the impact that the announcement of this facility had on BA yields in the secondary market. We find that BA yield spreads declined by 15 basis points on the day of the announcement and by up to 70 basis points over a longer period. Using an econometric framework, we quantify the effect of the announcement and confirm early assertions presented in the Bank’s 2020 Financial System Review.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23
Canadian stock market since COVID‑19: Why a V-shaped price recovery?
Staff Analytical Note 2020-22
Jean-Sébastien Fontaine,
Guillaume Ouellet Leblanc,
Ryan Shotlander
Between February 19 and March 23, 2020, the Canadian stock market plunged due to the severe economic impact of COVID-19. By the end of the summer, the stock market had already recovered a significant portion of its losses, leaving many asking if investors see the economy through rose-coloured glasses. Despite these concerns, we find that current market valuations for companies on the Toronto Stock Exchange align well, on average, with the declines in earning forecasts observed since the start of the year. We also find these market valuations are consistent with the discount rate returning to its pre-pandemic level.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Coronavirus disease (COVID-19),
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity
Staff Working Paper 2020-42
Ruben Hipp
Banks’ business interactions create a network of relationships that are hidden in the correlations of bank stock returns. But for policy interventions, we need causality to understand how the network changes. Thus, this paper looks for the causal network anticipated by investors.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Financial stability
JEL Code(s):
C,
C1,
C3,
C32,
C5,
C58,
L,
L1,
L14