G - Financial Economics - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T22:14:47+00:00Government of Canada Securities in the Cash, Repo and Securities Lending Markets
https://www.bankofcanada.ca/2018/01/staff-discussion-paper-2018-4/
This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities.2018-01-31T13:44:50+00:00enGovernment of Canada Securities in the Cash, Repo and Securities Lending Markets2018-01-31Financial marketsWholesale fundingStaff Discussion Paper 2018-4https://www.bankofcanada.ca/wp-content/uploads/2018/01/sdp2018-4.pdfGovernment of Canada Securities in the Cash, Repo and Securities Lending MarketsNarayan BulusuSermin GungorJanuary 2018GG1G12G2G21G23What Drives Interbank Loans? Evidence from Canada
https://www.bankofcanada.ca/2018/01/staff-working-paper-2018-5/
We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers.2018-01-31T10:42:42+00:00enWhat Drives Interbank Loans? Evidence from Canada2018-01-31Financial marketsWholesale fundingStaff Working Paper 2018-5https://www.bankofcanada.ca/wp-content/uploads/2018/01/swp2018-5.pdfWhat Drives Interbank Loans? Evidence from CanadaNarayan BulusuPierre GuérinJanuary 2018CC5C55EE4E43GG2G23A Calibrated Model of Intraday Settlement
https://www.bankofcanada.ca/2018/01/staff-discussion-paper-2018-3/
This paper estimates potential exposures, netting benefits and settlement gains by merging retail and wholesale payments into batches and conducting multiple intraday settlements in this hypothetical model of a single "calibrated payments system." The results demonstrate that credit risk exposures faced by participants in the system are largely dependent on their relative activity in the retail and wholesale payments systems.2018-01-25T10:00:16+00:00enA Calibrated Model of Intraday Settlement2018-01-25Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Discussion Paper 2018-3https://www.bankofcanada.ca/wp-content/uploads/2018/01/sdp2018-3.pdfA Calibrated Model of Intraday SettlementHéctor Pérez SaizSiddharth UntawalaGabriel XerriJanuary 2018CC5C58GG2G21G23Tail Risk in a Retail Payment System: An Extreme-Value Approach
https://www.bankofcanada.ca/2018/01/staff-discussion-paper-2018-2/
The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015.2018-01-22T15:48:13+00:00enTail Risk in a Retail Payment System: An Extreme-Value Approach2018-01-22Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Discussion Paper 2018-2https://www.bankofcanada.ca/wp-content/uploads/2018/01/sdp2018-2.pdfTail Risk in a Retail Payment System: An Extreme-Value ApproachHéctor Pérez SaizBlair WilliamsGabriel XerriJanuary 2018CC5C58GG2G21G23Speed Segmentation on Exchanges: Competition for Slow Flow
https://www.bankofcanada.ca/2018/01/staff-working-paper-2018-3/
In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure.2018-01-09T10:27:29+00:00enSpeed Segmentation on Exchanges: Competition for Slow Flow2018-01-09Financial marketsMarket structure and pricingStaff Working Paper 2018-3https://www.bankofcanada.ca/wp-content/uploads/2018/01/swp2018-3.pdfSpeed Segmentation on Exchanges: Competition for Slow FlowLisa AndersonEmad AndrewsBaiju DevaniMichael MuellerAdrian WaltonJanuary 2018GG1G14G2G24