The Ecology of Automated Market Makers Staff discussion paper 2024-12 Annetta Ho, Cosmin Cazan, Andrew Schrumm This paper describes the ecology of automated market makers, which are the most popular decentralized exchange model for the pricing and trading of crypto assets within decentralized finance. Content Type(s): Staff research, Staff discussion papers JEL Code(s): G, G1, G2 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Financial system regulation and oversight, Money and payments, Digital assets and fintech
A Counterfactual Valuation of the Stock Index as a Predictor of Crashes Staff working paper 2017-38 Tom Roberts Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes). Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G1, G12, G17, G19 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk
Perceived versus Calibrated Income Risks in Heterogeneous-Agent Consumption Models Staff working paper 2023-59 Tao Wang Perceived income risks reported in a survey of consumer expectations are more heterogeneous and, on average, lower than indirectly calibrated risks based on panel data. They prove to be one explanation for why a large fraction of households hold very little liquid savings and why accumulated wealth is widely unequal across households. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D1, D14, E, E2, E21, E7, E71, G, G5, G51 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
A Simple Method for Extracting the Probability of Default from American Put Option Prices Staff working paper 2020-15 Bo Young Chang, Greg Orosi A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G13, G3, G33 Research Theme(s): Financial markets and funds management, Market functioning, Market structure
Climate Variability and International Trade Staff working paper 2023-8 Geoffrey R. Dunbar, Walter Steingress, Ben Tomlin This paper quantifies the impact of hurricanes on seaborne international trade to the United States. Matching the timing of hurricane–trade route intersections with monthly U.S. port-level trade data, we isolate the unanticipated effects of a hurricane hitting a trade route using two separate identification schemes: an event study and a local projection. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C5, F, F1, F14, F18, Q, Q5, Q54 Research Theme(s): Structural challenges, Climate change, International trade, finance and competitiveness
August 24, 2010 Re-examining Canada’s Monetary Policy Framework: Recent Research and Outstanding Issues Remarks John Murray Canadian Association for Business Economics Kingston, Ontario I am honoured to address members of the Canadian Association for Business Economics. My remarks today will focus on critical issues that the Bank of Canada has studied over the past four years and how this research will inform our work as we move forward post crisis. Content Type(s): Press, Speeches and appearances, Remarks
October 24, 2016 Renewal of the Inflation-Control Target (October 2016) Commentary and technical data relating to the 2016 target renewal. Content Type(s): Background materials
Central Bank Crisis Interventions: A Review of the Recent Literature on Potential Costs Staff discussion paper 2023-30 Patrick Aldridge, David Cimon, Rishi Vala Central banks’ actions to stabilize financial markets and implement monetary policy during crises may come with costs and side effects. We provide a literature review of these costs and discuss measures that may mitigate the negative impacts of crisis actions. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E5, E58, G, G1, G10, G2, G20 Research Theme(s): Financial system, Financial stability and systemic risk, Monetary policy, Monetary policy tools and implementation
Expectation-Driven Term Structure of Equity and Bond Yields Staff working paper 2022-21 Ming Zeng, Guihai Zhao Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads). Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, G, G0, G00, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
The Welfare Effects of Protection: A General Equilibrium Analysis of Canada’s National Policy Staff working paper 2017-18 Patrick Alexander, Ian Keay In this paper, we study the impact of Canada’s adoption of protectionist trade policy in 1879 on Canadian welfare. Under the National Policy the Canadian average weighted tariff increased from 14% to 21%. The conventional view is that this was a distortionary policy that negatively affected Canadian welfare. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, F13, F14, F4, F42, F6, F60, N, N7, N71 Research Theme(s): Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness