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3045 Results

Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?

Staff Working Paper 2007-23 Ingrid Lo, Stephen Sapp
Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model.
Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets JEL Code(s): G, G1, G14

Modelling Canadian mortgage debt and payments in a semi-structural model

Staff Analytical Note 2024-1 Fares Bounajm, Austin McWhirter
We show how Canadian mortgage debt dynamics can be modelled in a semi-structural macroeconomic model, such as the Bank of Canada’s LENS. The model we propose accounts for Canada’s unique mortgage debt structure.
Content Type(s): Staff research, Staff analytical notes Research Topic(s): Economic models, Monetary policy transmission JEL Code(s): E, E2, E27, E4, E43, E47, G, G5, G51

The Distributional Origins of the Canada-US GDP and Labour Productivity Gaps

Staff Working Paper 2024-49 James (Jim) C. MacGee, Joel Rodrigue
We find the top 10% of the income distribution accounts for three-quarters of the gap in GDP per adult between Canada and the United States. The large gaps in income for high-income earners help distinguish between alternative explanations of this persistent gap in GDP per adult.
Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): D, D3, D31, E, E2, E24, J, J2, J24, J6, J61, N, N1, N12, O, O4, O47, O5, O51

Volatility and Liquidity Costs

Staff Working Paper 2013-29 Selma Chaker
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.

Implementing Market-Based Indicators to Monitor Vulnerabilities of Financial Institutions

Staff Analytical Note 2016-5 Cameron MacDonald, Maarten van Oordt, Robin Scott
This note introduces several market-based indicators and examines how they can further inform the Bank of Canada’s vulnerability assessment of Canadian financial institutions. Market-based indicators of leverage suggest that the solvency risk for major Canadian banks has increased since the beginning of the oil-price correction in the second half of 2014.
Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G1, G10, G2, G21

Seeking Safety

Staff Working Paper 2018-41 Toni Ahnert, Enrico Perotti
The scale of safe assets suggests a structural demand for a safe wealth share beyond transaction and liquidity roles. We study how investors achieve a reference wealth level by combining self-insurance and contingent liquidation of investment. Intermediaries improve upon autarky, insuring investors with poor self-insurance and limiting liquidation.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2
November 19, 2019

Researching the Economic Impacts of Climate Change

The Bank of Canada has a mandate to “promote the economic and financial welfare of Canada,” primarily through the conduct of monetary policy and promotion of a safe, sound and efficient financial system. Understanding the macroeconomic and financial system impacts of climate change and the transition to a low-carbon economy is therefore a priority for the Bank.
Content Type(s): Staff research, Other Research Topic(s): Climate change
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