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3028 Results

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.

Non-Linearities in the Output-Inflation Relationship: Some Empirical Results for Canada

Staff Working Paper 1998-14 Chantal Dupasquier, Nicholas Ricketts
This paper analyzes the short-run dynamic process of inflation in Canada and examines whether a systematic variation in the relationship between inflation and output can be detected over time. In the theoretical literature, different models of price-setting behaviour predict that the slope of the Phillips curve will be a function of macroeconomic conditions, implying a […]

What Does the Risk-Appetite Index Measure?

Staff Working Paper 2003-23 Miroslav Misina
Explanations of changes in asset prices as being due to exogenous changes in risk appetite, although arguably controversial, have been popular in the financial community and have also received some attention in attempts to account for recent financial crises. Operational versions of these explanations are based on the assumption that changes in asset prices can be decomposed into a part that can be attributed to changes in riskiness and a part attributable to changes in risk aversion, and that some quantitative measure can capture these effects in isolation.
Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G12

Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing

Staff Working Paper 2018-33 Itay Goldstein, Jonathan Witmer, Jing Yang
Recent research suggests that quantitative easing (QE) may affect a broad range of asset prices through a portfolio balance channel. Using novel security-level holding data of individual US mutual funds, we establish evidence that portfolio rebalancing occurred both within and across funds.

The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States

Staff Working Paper 2006-11 René Lalonde, Nicolas Parent
In the United States, the Federal Reserve has a dual mandate of promoting stable inflation and maximum employment. Since the Fed directly controls only one instrument - the federal funds rate - the authors argue that the Fed's priorities continuously alternate between inflation and economic activity.
September 10, 2020

Economic progress report: a very uneven recovery

Remarks (delivered virtually) Tiff Macklem The Canadian Chamber of Commerce Ottawa, Ontario
Governor Tiff Macklem discusses the Bank’s latest interest rate announcement and explains the uneven impact that the COVID-19 pandemic is having on different sectors and people.
October 26, 2010

Reform of Over-the-Counter (OTC) Derivatives Markets in Canada

This discussion paper represents the work of the inter-agency Canadian OTC Derivatives Working Group (OTCD WG), formed in December 2009, that is chaired by the Bank of Canada and composed of members from the Office of the Superintendent of Financial Institutions (OSFI), the federal Department of Finance, the Ontario Securities Commission, the Autorité des marchés financiers, the Alberta Securities Commission and the Bank of Canada.

Central Bank Digital Currencies: A Framework for Assessing Why and How

Staff Discussion Paper 2016-22 Ben Fung, Hanna Halaburda
Digital currencies have attracted strong interest in recent years and have the potential to become widely adopted for use in making payments. Public authorities and central banks around the world are closely monitoring developments in digital currencies and studying their implications for the economy, the financial system and central banks.
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