Browse research

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.

Contains

Authors

Content Types

JEL Codes

Topics

Published After

Published Before

388 result(s)

Consumer Credit Regulation and Lender Market Power

Staff Working Paper 2024-36 Zachary Bethune, Joaquín Saldain, Eric R. Young
We investigate the welfare consequences of consumer credit regulation in a dynamic, heterogeneous-agent model with endogenous lender market power. Lenders post credit offers and borrowers—some informed and others uninformed—apply for credit. We calibrate the model to match characteristics of the unsecured consumer credit market and use the calibrated model to evaluate interest rate ceilings.

CORRA: Explaining the rise in volumes and resulting upward pressure

Staff Analytical Note 2024-21 Boran Plong, Neil Maru
On May 27, 2024, the settlement period for trading GoC bonds in the secondary market in Canada moved from two days to one. This shortened time for settling secondary cash bond trades caused CORRA volumes to rise significantly, and they have remained elevated since. This combined with the skew in demand for funding has pressured CORRA higher. We find no indications that any other factors are contributing to the most recent pressures on CORRA.

Entry and Exit in Treasury Auctions

Staff Working Paper 2024-29 Jason Allen, Ali Hortaçsu, Eric Richert, Milena Wittwer
This paper introduces and estimates a structural model of the Canadian primary market for government debt. We assess the role of dealer exit in this market as a key reason for increased, yet irregular, customer entry and quantify the benefits of greater customer competition against the costs of higher market volatility.

Could all-to-all trading improve liquidity in the Government of Canada bond market?

Staff Analytical Note 2024-17 Jabir Sandhu, Rishi Vala
We find that on any given day, nearly half of Government of Canada bond transactions by clients of dealers can be offset with other clients, including during the turmoil in March 2020. Our results show that under certain conditions clients could potentially trade directly with each other and are a step towards understanding the relevance of broader all-to-all trading in the Government of Canada bond market.

The Ecology of Automated Market Makers

Staff Discussion Paper 2024-12 Annetta Ho, Cosmin Cazan, Andrew Schrumm
This paper describes the ecology of automated market makers, which are the most popular decentralized exchange model for the pricing and trading of crypto assets within decentralized finance.

How big is cash-futures basis trading in Canada’s government bond market?

Staff Analytical Note 2024-16 Andreas Uthemann, Rishi Vala
Cash-futures basis trading has grown alongside the Government of Canada bond futures market. We examine this growth over time in relation to Government of Canada bond and repurchase agreement markets and provide details on the type of market participants that engage in this type of trading activity.

Central Bank Liquidity Policy in Modern Times

Staff Discussion Paper 2024-6 Skylar Brooks
Across several dimensions of lender of last resort policy, I highlight broad changes that have occurred since the 2008–09 global financial crisis and discuss some of the key challenges, choices and considerations facing the designers of central bank liquidity tools today.

Assessing the Impact of the Bank of Canada’s Government Bond Purchases

Staff Discussion Paper 2024-5 Chinara Azizova, Jonathan Witmer, Xu Zhang
In March 2020, the Bank of Canada implemented the Government of Canada Bond Purchase Program, eventually purchasing approximately $340 billion of government bonds. In this paper, we analyze the impact of this program on financial market prices and yields as well as on GDP and inflation.

Financial Intermediation and Fire Sales with Liquidity Risk Pricing

Staff Working Paper 2024-18 Yuteng Cheng, Roberto Robatto
We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit their ability to resell assets. Viewed through the lens of the model, the liquidity requirements proposed by the U. S. Securities and Exchange Commission for these intermediaries could hurt the economy.

Liquidity risks at Canadian life insurance companies

Staff Analytical Note 2024-7 Patrick Aldridge, Stephane Gignac, Rishi Vala, Adrian Walton
We examine how life insurers manage liquidity risks created by their business model. We find that Canadian life insurers did not face significant liquidity draws and continued their usual investment behaviour during the COVID-19 crisis and as interest rates increased in 2022.
Go To Page