Adrian Walton

Senior Economist

Adrian Walton is a Senior Economist in the Financial Markets Department at the Bank of Canada. His research focuses on how the rules and conventions that govern trading in financial assets affect market functioning, specifically in Canadian equity and fixed-income markets. 

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Senior Economist
Financial Markets
Market Structure and Regulation

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Latest

Relative Value of Government of Canada Bonds

Staff Analytical Note 2019-23 Jean-Sébastien Fontaine, Jabir Sandhu, Adrian Walton
Government of Canada bonds in circulation that promise very similar payoffs can have different prices. We study the reason for these differences. Bonds that trade more often and earn high rental income in the repurchase agreement (repo) market tend to have higher prices. Bonds with longer tenors and times to maturity tend to have lower prices. This contrast between cheap and expensive bonds is important because trading volume and rental income can change rapidly, unlike tenor and time to maturity, which are stable.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets JEL Code(s): G, G1, G10, G11, G12, G2, G23, G3, G32

Price Caps in Canadian Bond Borrowing Markets

Staff Analytical Note 2019-2 Léanne Berger-Soucy, Jean-Sébastien Fontaine, Adrian Walton
Price controls, or caps, can lead to shortages, as 1970’s gasoline price controls illustrate. One million trades show that the market for borrowing bonds in Canada has an implicit price cap: traders are willing to pay no more than the overnight interest rate to borrow a bond. This suggests the probability of a shortage increases when interest rates are very low.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets JEL Code(s): G, G1, G10, G12

Alternative Futures for Government of Canada Debt Management

Staff Discussion Paper 2018-15 Corey Garriott, Sophie Lefebvre, Guillaume Nolin, Francisco Rivadeneyra, Adrian Walton
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.
Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Debt Management, Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G2, G24, H, H6, H63

Speed Segmentation on Exchanges: Competition for Slow Flow

Staff Working Paper 2018-3 Lisa Anderson, Emad Andrews, Baiju Devani, Michael Mueller, Adrian Walton
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.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G14, G2, G24

What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?

Staff Working Paper 2017-54 Jean-Sébastien Fontaine, James Pinnington, Adrian Walton
We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): E, E4, G, G1, G2, G21, L, L1

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Education

  • Ph.D. University of Western Ontario 2017
  • M.Sc. University of Western Ontario 2010
  • B.Sc. McGill University 2009

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