The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ Staff Working Paper 2002-9 Toni Gravelle Although dealership government and equity securities have, on the surface, similar market structures, the author demonstrates that some subtle differences exist between them that are likely to significantly affect the way market-makers trade, and as such have an impact on the liquidity that they provide. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G15, G18
Monetary Policy and Cross-Border Interbank Market Fragmentation: Lessons from the Crisis Staff Working Paper 2020-34 Tobias Blattner, Jonathan Swarbrick We present a two-country model featuring risky lending and cross-border interbank market frictions. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, International financial markets, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, F, F3, F32, F36
The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada Staff Working Paper 2013-35 Mikael Khan, Louis Morel, Patrick Sabourin In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This measure, labelled the common component of CPI, has intuitive appeal and a number of interesting features. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices, Monetary policy framework JEL Code(s): C, C1, E, E3, E31, E32, E5, E52, E58
Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays Staff Working Paper 2018-16 Michael Brolley, David Cimon Latency delays—known as “speed bumps”—are an intentional slowing of order flow by exchanges. Supporters contend that delays protect market makers from high-frequency arbitrage, while opponents warn that delays promote “quote fading” by market makers. We construct a model of informed trading in a fragmented market, where one market operates a conventional order book and the other imposes a latency delay on market orders. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G14, G18
Monetary Shocks in the G-6 Countries: Is There a Puzzle? Staff Working Paper 1997-7 Ben Fung, Marcel Kasumovich This paper attempts to reduce the uncertainty about the dynamics of the monetary transmission mechanism. Central to this attempt is the identification of monetary policy shocks. Recently, VAR approaches that use over-identifying restrictions have shown success in isolating such shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, International topics, Monetary policy transmission JEL Code(s): E, E5, E52, E58
February 17, 2011 Conference Summary: Financial Globalization and Financial Instability Bank of Canada Review - Winter 2010-2011 Scott Hendry The Bank of Canada’s annual conference, held in October 2010, brought together leading researchers from universities and central banks around the world. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Central bank research, Financial markets, Financial stability, Financial system regulation and policies
Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence Staff Working Paper 2002-31 Céline Gauthier, David Tessier In this paper, we study the impact of supply shocks on the Canadian real exchange rate. We specify a structural vector-error-correction model that links the real exchange rate to different fundamentals. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates JEL Code(s): C, C3, C32, F, F3, F31
Endogenous Central Bank Credibility in a Small Forward-Looking Model of the U.S. Economy Staff Working Paper 2005-16 René Lalonde The linkages between inflation and the economy's cyclical position are thought to be strongly affected by the credibility of monetary authorities. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C3, C32, E, E5, E52
Revisiting the Monetary Sovereignty Rationale for CBDCs Staff Discussion Paper 2021-17 Skylar Brooks One argument for central bank digital currencies (CBDCs) is that without them, private and foreign digital monies could displace domestic currencies, threatening the central bank’s monetary policy and lender of last resort capabilities. I revisit this monetary sovereignty rationale and offer a wider view—one that considers a broader set of currency functions and captures important cross-country variation. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Debt management, Digital currencies and fintech, Exchange rate regimes, Financial stability, Monetary policy JEL Code(s): E, E4, E41, E42, E5, E52, E58, H, H1, H12, H6, H63
June 14, 2007 Bank of Canada Review - Summer 2007 Cover page Decimalization in Great Britain The Victorian florin on the cover is part of the National Currency Collection of the Bank of Canada. Content Type(s): Publications, Bank of Canada Review