Price Caps in Canadian Bond Borrowing Markets Staff Analytical Note 2019-2 Léanne Berger-Soucy, Jean-Sébastien Fontaine, Adrian Walton Price controls, or caps, can lead to shortages, as 1970’s gasoline price controls illustrate. One million trades show that the market for borrowing bonds in Canada has an implicit price cap: traders are willing to pay no more than the overnight interest rate to borrow a bond. This suggests the probability of a shortage increases when interest rates are very low. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial markets JEL Code(s): G, G1, G10, G12
When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises Staff Working Paper 2004-18 Raphael Solomon The author develops a twin crisis model featuring multiple banks. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial institutions JEL Code(s): E, E5, E58, F, F3, F30, G, G2, G21
On the Nexus of Monetary Policy and Financial Stability: Effectiveness of Macroprudential Tools in Building Resilience and Mitigating Financial Imbalances Staff Discussion Paper 2016-11 H. Evren Damar, Miguel Molico This paper reviews the Canadian and international evidence of the effectiveness of macroprudential policy measures in building resilience and mitigating financial imbalances. The analysis concludes that these measures have broadly achieved their goal of increasing the overall resilience of the financial system to the buildup of imbalances and increasing the financial system’s ability to withstand adverse shocks. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Credit and credit aggregates, Financial stability, Financial system regulation and policies JEL Code(s): E, E5, E51, E58, G, G1, G18, G2, G28
September 11, 2008 Bank of Canada Review - Autumn 2008 Cover page Leonard C. Wyon: Canada’s Victorian Engraver Photography by Gord Carter Content Type(s): Publications, Bank of Canada Review
June 21, 2006 Using High-Frequency Data to Model Volatility Dynamics Financial System Review - June 2006 Gregory Bauer Content Type(s): Publications, Financial System Review articles
Digitalization: Prices of Goods and Services Staff Discussion Paper 2023-27 Vivian Chu, Tatjana Dahlhaus, Christopher Hajzler This paper outlines and assesses the various channels through which digitalization can affect prices of goods and services. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Digitalization, Inflation and prices, Market structure and pricing, Monetary policy JEL Code(s): D, D2, E, E3, E31, E5, E52, L, L1, L11
Fads or Bubbles? Staff Working Paper 1997-2 Huntley Schaller, Simon van Norden This paper tests between fads and bubbles using a new empirical strategy (based on switching-regression econometrics) for distinguishing between competing asset-pricing models. By extending the Blanchard and Watson (1982) model, we show how stochastic bubbles can lead to regime-switching in stock market returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C4, C40, G, G1, G12
The Macroeconomic Effects of Non-Zero Trend Inflation Staff Working Paper 2006-34 Robert Amano, Steve Ambler, Nooman Rebei The authors study the macroeconomic effects of non-zero trend inflation in a simple dynamic stochastic general-equilibrium model with sticky prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Inflation targets JEL Code(s): E, E2, E24, E3, E32
Broker Routing Decisions in Limit Order Markets Staff Working Paper 2016-50 David Cimon The primary focus of this paper is to study conflict of interest in the brokerage market. Brokers face a conflict of interest when the commissions they receive from investors differ from the costs imposed by different trading venues. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G2, G24, G28
Real and Nominal Frictions within the Firm: How Lumpy Investment Matters for Price Adjustment Staff Working Paper 2009-36 Michael K. Johnston Real rigidities are an important feature of modern sticky price models and are policy-relevant because of their welfare consequences, but cannot be structurally identified from time series. I evaluate the plausibility of capital specificity as a source of real rigidities using a two-dimensional generalized (s,S) model calibrated to micro evidence. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy transmission JEL Code(s): E, E1, E12, E2, E22, E3, E31