Financial markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T15:03:34+00:00What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-61/
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data.2016-12-28T08:34:12+00:00enWhat Fed Funds Futures Tell Us About Monetary Policy Uncertainty2016-12-28Asset pricingFinancial marketsInterest ratesStaff Working Paper 2016-61https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp-2016-61.pdfWhat Fed Funds Futures Tell Us About Monetary Policy UncertaintyJean-Sébastien FontaineDecember 2016EE4E43E44E47GG1G12G13Equity Option-Implied Probability of Default and Equity Recovery Rate
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-58/
There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability.2016-12-15T12:23:13+00:00enEquity Option-Implied Probability of Default and Equity Recovery Rate2016-12-15Asset pricingFinancial marketsMarket structure and pricingStaff Working Paper 2016-58https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-58.pdfEquity Option-Implied Probability of Default and Equity Recovery RateBo Young ChangGreg OrosiDecember 2016GG1G13G3G33Toward More Resilient Markets: Over-the-Counter Derivatives Reform in Canada
https://www.bankofcanada.ca/wp-content/uploads/2016/12/fsr-december-2016-mueller.pdf
In Toward More Resilient Markets: Over-the-Counter Derivatives Reform in Canada, Michael Mueller and André Usche show that the implementation of derivatives market reforms in Canada is well under way and has lessened vulnerabilities. But accompanying changes to market structure have both positive and negative effects that require ongoing attention from authorities.2016-12-15T10:30:57+00:00enToward More Resilient Markets: Over-the-Counter Derivatives Reform in Canada2016-12-15Monitoring Shadow Banking in Canada: A Hybrid Approach
https://www.bankofcanada.ca/wp-content/uploads/2016/12/fsr-december-2016-chang.pdf
In Monitoring Shadow Banking in Canada: A Hybrid Approach, Bo Young Chang, Michael Januska, Gitanjali Kumar and André Usche discuss how lending that occurs outside the traditional banking system provides benefits to the economy but must be monitored carefully for potential financial sector vulnerabilities. They describe how the Bank defines and measures shadow banking and how it assesses vulnerabilities in the sector, using an approach that examines both markets and entities.2016-12-15T10:30:27+00:00enMonitoring Shadow Banking in Canada: A Hybrid Approach2016-12-15Options Decimalization
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-57/
We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options.2016-12-13T15:04:23+00:00enOptions Decimalization2016-12-13Financial marketsFinancial system regulation and policiesMarket structure and pricingStaff Working Paper 2016-57https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-57.pdfOptions DecimalizationFaith ChinCorey GarriottDecember 2016GG1G14G2G20LL1L10Broker Routing Decisions in Limit Order Markets
https://www.bankofcanada.ca/2016/11/staff-working-paper-2016-50/
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.2016-11-18T13:13:49+00:00enBroker Routing Decisions in Limit Order Markets2016-11-18Financial marketsMarket structure and pricingStaff Working Paper 2016-50https://www.bankofcanada.ca/wp-content/uploads/2016/11/swp2016-50.pdfBroker Routing Decisions in Limit Order MarketsDavid CimonNovember 2016GG2G24G28Market Operations and Liquidity Provision at the Bank of Canada
https://www.bankofcanada.ca/wp-content/uploads/2016/11/boc-review-autumn16-guzman.pdf
The Bank of Canada’s framework for market operations and liquidity provision describes how and when central bank liquidity might be offered with regards to the implementation of monetary policy and for supporting the stability of the Canadian financial system. Market participants can therefore plan their transactions knowing that the Bank stands ready to help manage system liquidity to support its objectives for monetary policy and financial stability.2016-11-17T12:01:23+00:00enMarket Operations and Liquidity Provision at the Bank of Canada2016-11-17Follow the Money: A Canadian Perspective on Financial Globalization
https://www.bankofcanada.ca/2016/11/follow-money-canadian-perspective-financial-globalization/
Deputy Governor Timothy Lane discusses the benefits and challenges of international capital mobility.2016-11-16T11:50:47+00:00Follow the Money: A Canadian Perspective on Financial Globalization2016-11-16Timothy LaneFragility of Resale Markets for Securitized Assets and Policy of Asset Purchases
https://www.bankofcanada.ca/2016/10/staff-working-paper-2016-46/
Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators.2016-10-31T15:15:40+00:00enFragility of Resale Markets for Securitized Assets and Policy of Asset Purchases2016-10-31Business fluctuations and cyclesCredit and credit aggregatesEconomic modelsFinancial marketsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2016-46https://www.bankofcanada.ca/wp-content/uploads/2016/10/swp2016-46.pdfFragility of Resale Markets for Securitized Assets and Policy of Asset PurchasesMartin KunclOctober 2016EE3E32E5GG0G01G2(S)low for Long and Financial Stability
https://www.bankofcanada.ca/2016/09/slow-long-financial-stability/
Senior Deputy Governor Carolyn Wilkins discusses the financial stability risks associated with slow growth and low interest rates, and explores strategies to mitigate them.2016-09-14T06:50:59+00:00(S)low for Long and Financial Stability2016-09-14Carolyn A. Wilkins