Financial markets

• May 14, 2015

  Fine-Tuning the Framework for the Bank’s Market Operations

  Remarks Lynn Patterson CFA Society Vancouver Vancouver, British Columbia

  Deputy Governor Lynn Patterson discusses proposed changes to the Bank’s financial market operations.

  Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Financial institutions, Financial markets, Financial stability, Financial system regulation and policies, Lender of last resort, Monetary policy implementation
• May 5, 2015

  Liquid Markets for a Solid Economy

  Remarks Carolyn A. Wilkins Chambre de commerce du Montréal métropolitain Montréal, Quebec

  Senior Deputy Governor Wilkins discusses funding and market liquidity, and announces consultations on the Bank’s market operations and emergency lending frameworks.

  Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Asset pricing, Financial institutions, Financial markets, Financial stability, Financial system regulation and policies, Lender of last resort

• Household Stockholding Behavior During the Great Financial Crisis

  Staff Working Paper 2015-15 Jie Zhou

  Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): G, G0, G01, G1, G11

• Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis

  Staff Working Paper 2015-13 Michael Ehrmann, Marcel Fratzscher

  The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Interest rates, International financial markets JEL Code(s): E, E5, F, F3, G, G1, G15

• Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns

  Staff Working Paper 2015-12 Jean-Sébastien Fontaine, René Garcia, Sermin Gungor

  Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): E, E4, E43, H, H1, H12

• Securitization under Asymmetric Information over the Business Cycle

  Staff Working Paper 2015-9 Martin Kuncl

  This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly signal its quality.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E4, E44, G, G0, G01, G2, G20

• High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market

  Staff Working Paper 2014-56 George Jiang, Ingrid Lo, Giorgio Valente

  This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G10, G12, G14

• Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?

  Staff Working Paper 2014-55 Michael Mueller

  Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C18, G, G3, G32
• December 10, 2014

  Exchange-Traded Funds: Evolution of Benefits, Vulnerabilities and Risks

  Financial System Review - December 2014 Ian Foucher, Kyle Gray

  Ian Foucher and Kyle Gray explain the different types of exchange-traded funds (ETFs), which present both benefits and risks for investors. They discuss ways in which the risk characteristics of certain ETF products could have broader implications for the financial system, and describe the evolution of ETF market structure and regulation in different jurisdictions as authorities try to mitigate risks related to ETFs.

  Content Type(s): Publications, Financial System Review articles Research Topic(s): Financial markets, Financial stability, Market structure and pricing JEL Code(s): G, G1, G14, G18, G2, G20

• Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

  Staff Working Paper 2014-51 Sermin Gungor, Richard Luger

  We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C15, G, G1, G12