Corey Garriott - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:55:01+00:00COVID-19 Crisis: Lessons Learned for Future Policy Research
https://www.bankofcanada.ca/2021/02/staff-discussion-paper-2021-2/
One year later, we review the events that took place in Canadian fixed-income markets at the beginning of the COVID-19 crisis and propose potential policy research questions for future work.2021-02-24T12:28:17+00:00enCOVID-19 Crisis: Lessons Learned for Future Policy Research2021-02-24Coronavirus disease (COVID-19)Financial marketsMonetary policyStaff Discussion Paper 2021-2https://www.bankofcanada.ca/wp-content/uploads/2021/02/sdp2021-2.pdfCOVID-19 Crisis: Lessons Learned for Future Policy ResearchJean-Sébastien FontaineCorey GarriottJesse JohalJessica LeeAndreas UthemannFebruary 2021DD4D47EE4E41E5GG0G01G1G14G2G20G21G23Will exchange-traded funds shape the future of bond dealing?
https://www.bankofcanada.ca/2020/07/staff-analytical-note-2020-16/
Bond dealers have traditionally kept bonds in an inventory until clients buy them. But now, dealers have another way to access bonds for their clients: the exchange-traded fund. We discuss this new way to manage bond dealing and what it might mean for bond markets.2020-07-28T14:00:50+00:00enWill exchange-traded funds shape the future of bond dealing?2020-07-28Trading on Long-term Information
https://www.bankofcanada.ca/2020/06/staff-working-paper-2020-20/
Investors who trade based on good research are said to be the backbone of stock markets: They conduct research to discover the value of stocks and, through their trading, guide financial prices to reflect true value. What can make their job difficult is that high-speed, short-term traders could use machine learning and other technologies to infer when informed investors are trading.2020-06-05T13:35:33+00:00enTrading on Long-term Information2020-06-05Financial institutionsFinancial marketsMarket structure and pricingStaff Discussion Paper 2020-20https://www.bankofcanada.ca/wp-content/uploads/2020/06/swp2020-20.pdfStaff Discussion Paper 2020-20Corey GarriottRyan RiordanJune 2020GG1G14G2G20LL1Alternative Futures for Government of Canada Debt Management
https://www.bankofcanada.ca/2018/12/staff-discussion-paper-2018-15/
This paper presents four blue-sky ideas for lowering the cost of the Government of Canada’s debt without increasing the debt’s risk profile. We argue that each idea would improve the secondary-market liquidity of government debt, thereby increasing the demand for government bonds and thus lowering their cost at issuance.2018-12-06T14:49:48+00:00enAlternative Futures for Government of Canada Debt Management2018-12-06Debt managementFinancial marketsMarket structure and pricingStaff Discussion Paper 2018-15https://www.bankofcanada.ca/wp-content/uploads/2018/12/sdp2018-15.pdfAlternative Futures for Government of Canada Debt ManagementCorey GarriottSophie LefebvreGuillaume NolinFrancisco RivadeneyraAdrian WaltonDecember 2018GG1G12G2G24HH6H63Government of Canada Fixed-Income Market Ecology
https://www.bankofcanada.ca/2018/09/staff-discussion-paper-2018-10/
This discussion paper is the third in the Financial Markets Department’s series on the structure of Canadian financial markets. These papers are called “ecologies” because they study the interactions among market participants, infrastructures, regulations and the terms of the traded contract itself.2018-09-20T11:25:52+00:00enGovernment of Canada Fixed-Income Market Ecology2018-09-20Debt managementFinancial institutionsFinancial marketsFinancial servicesStaff Discussion Paper 2018-10https://www.bankofcanada.ca/wp-content/uploads/2018/09/sdp2018-10.pdfGovernment of Canada Fixed-Income Market EcologyLéanne Berger-SoucyCorey GarriottAndré UscheSeptember 2018GG1G10G2G20HH6H63Customer Liquidity Provision in Canadian Bond Markets
https://www.bankofcanada.ca/2018/05/staff-analytical-note-2018-12/
This analytical note assesses the prevalence of liquidity provision by institutional investors in Canadian bonds. We find that the practice is not prevalent in Canada. Customer liquidity provision is more prevalent for less liquid bonds, on days when liquidity is already expensive or when there are larger trading volumes. In our interpretation, Canadian dealers draw on customer liquidity as a supplementary source of liquidity and only when necessary, given its cost.2018-05-02T06:00:35+00:00enCustomer Liquidity Provision in Canadian Bond Markets2018-05-02High-Frequency Trading and Institutional Trading Costs
https://www.bankofcanada.ca/2018/02/staff-working-paper-2018-8/
Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy.2018-02-09T12:17:58+00:00enHigh-Frequency Trading and Institutional Trading Costs2018-02-09Financial marketsFinancial system regulation and policiesMarket structure and pricingStaff Working Paper 2018-8https://www.bankofcanada.ca/wp-content/uploads/2018/02/swp2018-8.pdfHigh-Frequency Trading and Institutional Trading CostsMarie ChenCorey GarriottFebruary 2018GG1G14G2G20LL1L10The Impacts of Monetary Policy Statements
https://www.bankofcanada.ca/2017/11/staff-analytical-note-2017-22/
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary policy earlier than previously expected, the Canadian dollar appreciates (or depreciates) and long-term Government of Canada bond yields increase (or decrease). The tone of a statement is particularly relevant to the market when the policy rate has been unchanged for some time.2017-11-24T09:18:40+00:00enThe Impacts of Monetary Policy Statements2017-11-24Do Canadian Broker-Dealers Act as Agents or Principals in Bond Trading?
https://www.bankofcanada.ca/2017/09/staff-analytical-note-2017-11/
Technology, risk tolerance and regulation may influence dealers to reduce their trading as principals (using their own balance sheets for sales and purchases of securities) in favour of agency trading (matching client trades).2017-09-11T11:49:41+00:00enDo Canadian Broker-Dealers Act as Agents or Principals in Bond Trading?2017-09-11Banking Regulation and Market Making
https://www.bankofcanada.ca/2017/02/staff-working-paper-2017-7/
We model how securities dealers respond to regulations on leverage, position and liquidity such as those imposed by the Basel III framework. We show that while asset prices exhibit greater price impact, bid-ask spreads do not change and trading volumes may even increase.2017-02-16T11:41:14+00:00enBanking Regulation and Market Making2017-02-16Financial marketsFinancial system regulation and policiesMarket structure and pricingStaff Working Paper 2017-7https://www.bankofcanada.ca/wp-content/uploads/2017/02/swp2017-7.pdfBanking Regulation and Market MakingDavid CimonCorey GarriottFebruary 2017GG1G14G2G20LL1L10