Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1306
result(s)
Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation
Staff Working Paper 2018-10
Lise Pichette,
Marie-Noëlle Robitaille,
Mohanad Salameh,
Pierre St-Amant
We use a new real-time database for Canada to study various output gap measures. This includes recently developed measures based on models incorporating many variables as inputs (and therefore requiring real-time data for many variables).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices,
Potential output
JEL Code(s):
C,
C5,
C53,
E,
E3,
E37
The “Too Big to Fail” Subsidy in Canada: Some Estimates
Staff Working Paper 2018-9
Patricia Palhau Mora
Implicit government guarantees of banking-sector liabilities reduce market discipline by private sector stakeholders and temper the risk sensitivity of funding costs. This potentially increases the likelihood of bailouts from taxpayers, especially in the absence of effective resolution frameworks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G1,
G13,
G2,
G21,
G28
High-Frequency Trading and Institutional Trading Costs
Staff Working Paper 2018-8
Marie Chen,
Corey Garriott
Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1,
L10
Adverse Selection with Heterogeneously Informed Agents
Staff Working Paper 2018-7
Mohammad Davoodalhosseini
A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high quality assets. Heterogeneous sellers with private information choose what type of buyers they want to trade with.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D4,
D40,
D8,
D82,
D83,
G,
G0,
G01,
G1,
G10,
G2,
G20
Home Equity Extraction and the Boom-Bust Cycle in Consumption and Residential Investment
Staff Working Paper 2018-6
Xiaoqing Zhou
The consumption boom-bust cycle in the 2000s coincided with large fluctuations in the volume of home equity borrowing. Contrary to conventional wisdom, I show that homeowners largely borrowed for residential investment and not consumption.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Economic models,
Housing
JEL Code(s):
D,
D1,
E,
E2,
E3
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
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
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
How Do Central Bank Projections and Forward Guidance Influence Private-Sector Forecasts?
Staff Working Paper 2018-2
Monica Jain,
Christopher S. Sutherland
We construct a 23-country panel data set to consider the effect of central bank projections and forward guidance on private-sector forecast disagreement. We find that central bank projections and forward guidance matter mainly for private-sector forecast disagreement surrounding upcoming policy rate decisions and matter less for private-sector macroeconomic forecasts.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Inflation targets,
Monetary policy,
Monetary policy communications,
Monetary policy transmission
JEL Code(s):
D,
D8,
D83,
E,
E3,
E37,
E5,
E52,
E58