Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Why Fixed Costs Matter for Proof-of-Work Based Cryptocurrencies
Staff Working Paper 2020-27
Rodney J. Garratt,
Maarten van Oordt
Can Bitcoin survive? Some say it will become vulnerable to attacks as the rewards for processing Bitcoin transactions continue to decline. The economics of fixed costs suggest the specialized hardware used to mine Bitcoin may be key to its survival.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G10,
L,
L1,
L11
Monetary Policy Implementation and Payment System Modernization
Staff Working Paper 2020-26
Jonathan Witmer
Canada plans to adopt a retail payment system to allow Canadians to pay in real time (or near real time) 24 hours a day, 7 days a week. However, the traditional model for setting the overnight interest rate does not operate 24/7.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy implementation,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E40,
E42,
E43
Monetary Policy Independence and the Strength of the Global Financial Cycle
Staff Working Paper 2020-25
Christian Friedrich,
Pierre Guérin,
Danilo Leiva-Leon
We propose a new strength measure of the global financial cycle by estimating a regime-switching factor model on cross-border equity flows for 61 countries. We then assess how the strength of the global financial cycle affects monetary policy independence, which is defined as the response of central banks' policy interest rates to exogenous changes in inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Exchange rate regimes,
Financial system regulation and policies,
International financial markets,
Monetary policy
JEL Code(s):
E,
E4,
E5,
F,
F3,
F32,
F4,
F42,
G,
G1,
G15,
G18
An Economic Perspective on Payments Migration
Staff Working Paper 2020-24
Anneke Kosse,
Zhentong Lu,
Gabriel Xerri
Consumers, businesses and banks make millions of payments each day using a variety of instruments, such as debit cards, cheques and wires. Canada is currently developing three new systems to process these transactions: Lynx, Settlement Optimization Engine (SOE) and Real-Time Rail (RTR).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial services,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
G,
G2,
G21
Trading for Bailouts
Staff Working Paper 2020-23
Toni Ahnert,
Caio Machado,
Ana Elisa Pereira
In times of high uncertainty, governments often implement interventions such as bailouts to financial institutions. To use public resources efficiently and to avoid major spillovers to the rest of the economy, policy-makers try to identify which institutions should receive assistance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Lender of last resort
JEL Code(s):
D,
D8,
D83,
G,
G1,
G12,
G14,
G18
Dynamic Competition in Negotiated Price Markets
Staff Working Paper 2020-22
Jason Allen,
Shaoteng Li
Repeated interactions between borrowers and lenders create the possibility of dynamic pricing: lenders compete aggressively with low prices to attract new borrowers and then raise their prices once borrowers have made a commitment. We find such pricing patterns in the Canadian mortgage market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G2,
G21,
L,
L2
Classical Decomposition of Markowitz Portfolio Selection
Staff Working Paper 2020-21
Christopher Demone,
Olivia Di Matteo,
Barbara Collignon
In this study, we enhance Markowitz portfolio selection with graph theory for the analysis of two portfolios composed of either EU or US assets. Using a threshold-based decomposition of their respective covariance matrices, we perturb the level of risk in each portfolio and build the corresponding sets of graphs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research
JEL Code(s):
C,
C0,
C02
Trading on Long-term Information
Staff Working Paper 2020-20
Corey Garriott,
Ryan Riordan
Investors who trade based on good research are said to be the backbone of stock markets: They conduct research to discover the value of stocks and, through their trading, guide financial prices to reflect true value. What can make their job difficult is that high-speed, short-term traders could use machine learning and other technologies to infer when informed investors are trading.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1
The Term Structures of Loss and Gain Uncertainty
Staff Working Paper 2020-19
Bruno Feunou,
Ricardo Lopez Aliouchkin,
Roméo Tedongap,
Lai Xu
We investigate the uncertainty around stock returns at different investment horizons. Since a return is either a loss or a gain, we categorize return uncertainty into two components—loss uncertainty and gain uncertainty. We then use these components to evaluate investment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
G,
G1,
G12