FSRC - Financial System Research Center
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Rollover Risk, Liquidity and Macroprudential Regulation
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post. -
Understanding the Cash Demand Puzzle
We develop a model to explain a puzzling trend in cash demand in recent years: the value of bank notes in circulation as a percentage of GDP has remained stable despite decreasing cash usage at points of sale owing to competition from alternative means of payment such as credit cards. -
Consumer Cash Usage: A Cross-Country Comparison with Payment Diary Survey Data
We measure consumers’ use of cash by harmonizing payment diary surveys from seven countries. The seven diary surveys were conducted in 2009 (Canada), 2010 (Australia), 2011 (Austria, France, Germany and the Netherlands), and 2012 (the United States). -
High-Frequency Trading Competition
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. -
Interest on Cash, Fundamental Value Process and Bubble Formation on Experimental Asset Markets
We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main conclusions. -
E-Money: Efficiency, Stability and Optimal Policy
What makes e-money more special than cash? Is the introduction of e-money necessarily welfare enhancing? Is an e-money system necessarily stable? What is the optimal way to design an efficient and stable e-money scheme? -
The Efficiency of Private E-Money-Like Systems: The U.S. Experience with State Bank Notes
In the United States prior to 1863 each bank issued its own distinct notes. E-money shares many of the characteristics of these bank notes. This paper describes some lessons relevant to e-money from the U.S. experience with state bank notes. -
Electronic Money and Payments: Recent Developments and Issues
The authors review recent developments in retail payments in Canada and elsewhere, with a focus on e-money products, and assess their potential public policy implications. -
Bond Risk Premia and Gaussian Term Structure Models
Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns.