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2360
result(s)
Government of Canada Securities in the Cash, Repo and Securities Lending Markets
Staff Discussion Paper 2018-4
Narayan Bulusu,
Sermin Gungor
This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Wholesale funding
JEL Code(s):
G,
G1,
G12,
G2,
G21,
G23
What Drives Interbank Loans? Evidence from Canada
Staff Working Paper 2018-5
Narayan Bulusu,
Pierre Guérin
We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Wholesale funding
JEL Code(s):
C,
C5,
C55,
E,
E4,
E43,
G,
G2,
G23
A Calibrated Model of Intraday Settlement
Staff Discussion Paper 2018-3
Héctor Pérez Saiz,
Siddharth Untawala,
Gabriel Xerri
This paper estimates potential exposures, netting benefits and settlement gains by merging retail and wholesale payments into batches and conducting multiple intraday settlements in this hypothetical model of a single "calibrated payments system." The results demonstrate that credit risk exposures faced by participants in the system are largely dependent on their relative activity in the retail and wholesale payments systems.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C5,
C58,
G,
G2,
G21,
G23
Non-linéarité de la courbe de Phillips : un survol de la littérature
Staff Analytical Note 2018-3
Renaud St-Cyr
The paper reviews evidence from the economic literature on the nature of the relationship between excess capacity and inflation, better known as the Phillips curve. In particular, we examine the linearity of this relationship. This is an important issue in the current economic context in which advanced economies are approaching or exceed their potential output.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Inflation and prices,
International topics
JEL Code(s):
E,
E3,
E31,
E32
Tail Risk in a Retail Payment System: An Extreme-Value Approach
Staff Discussion Paper 2018-2
Héctor Pérez Saiz,
Blair Williams,
Gabriel Xerri
The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C5,
C58,
G,
G2,
G21,
G23
Modeling Fluctuations in the Global Demand for Commodities
Staff Working Paper 2018-4
Lutz Kilian,
Xiaoqing Zhou
It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic activity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
F,
F4,
F44,
Q,
Q1,
Q11,
Q3,
Q31,
Q4,
Q41,
Q43
Wages: Measurement and Key Drivers
Staff Analytical Note 2018-2
Dany Brouillette,
Jonathan Lachaine,
Benoit Vincent
Available sources of hourly wage data in Canada sometimes send conflicting signals about wage growth. This note thus has two objectives: first, we develop a wage measure—the wage-common—to better capture the (underlying) wage pressures reflecting the common trend across the available data sources. Second, we re-examine the relationship between wage growth and macro drivers (labour market slack and labour productivity).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Econometric and statistical methods,
Labour markets,
Recent economic and financial developments
JEL Code(s):
C,
C3,
C38,
J,
J3
Canada’s Experience with Trade Policy
Staff Discussion Paper 2018-1
Karyne B. Charbonneau,
Daniel de Munnik,
Laura Murphy
This paper compiles the contemporary view on three major Canadian-led trade policies that have marked Canada’s economic history since Confederation: the National Policy (1879), the Canada–US Agreement on Automotive Products (Auto Pact, 1965) and the Canada–US Free Trade Agreement (FTA, 1989, including its extension to the North American Free Trade Agreement, NAFTA, 1994).
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
International topics,
Trade integration
JEL Code(s):
F,
F1,
F13,
N,
N7,
N71,
N72
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