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379
result(s)
Will exchange-traded funds shape the future of bond dealing?
Staff Analytical Note 2020-16
Rohan Arora,
Jean-Sébastien Fontaine,
Corey Garriott,
Guillaume Ouellet Leblanc
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.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
G,
G1,
G2,
G20,
G23
Ten Isn’t Large! Group Size and Coordination in a Large-Scale Experiment
Staff Working Paper 2020-30
Jasmina Arifovic,
Cars Hommes,
Anita Kopányi-Peuker,
Isabelle Salle
Economic activities typically involve coordination among a large number of agents. These agents have to anticipate what other agents think before making their own decisions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
C,
C9,
C92,
D,
D8,
D83,
D9,
D90,
G,
G2,
G20
Maturity Composition and the Demand for Government Debt
Staff Working Paper 2020-29
Jason Allen,
Jakub Kastl,
Milena Wittwer
The main objectives of debt management are to raise stable and low-cost funding to meet the government’s financial needs and to maintain a well-functioning market for government securities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial markets
JEL Code(s):
C,
C1,
C14,
D,
D4,
D44,
E,
E5,
E58,
G,
G1,
G12
COVID-19 and bond market liquidity: alert, isolation and recovery
Staff Analytical Note 2020-14
Jean-Sébastien Fontaine,
Hayden Ford,
Adrian Walton
The disruption due to COVID-19 reverberated through the bond markets in three phases. In the first phase, dealers met the rising demand for liquidity. In the second, dealers reduced the supply of liquidity, and trading conditions worsened significantly. Finally, the market returned to relative stability following several interventions by the Bank of Canada.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial markets,
Monetary policy
JEL Code(s):
E,
E4
Trading for Bailouts
Staff Working Paper 2020-23
Toni Ahnert,
Caio Machado,
Ana Elisa Pereira
In times of high uncertainty, governments often implement interventions such as bailouts to financial institutions. To use public resources efficiently and to avoid major spillovers to the rest of the economy, policy-makers try to identify which institutions should receive assistance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Lender of last resort
JEL Code(s):
D,
D8,
D83,
G,
G1,
G12,
G14,
G18
Trading on Long-term Information
Staff Working Paper 2020-20
Corey Garriott,
Ryan Riordan
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1
Canadian Financial Stress and Macroeconomic Conditions
Staff Discussion Paper 2020-4
Thibaut Duprey
Severe disruptions in the financial markets, as observed during the 2008 global financial crisis or the COVID-19 pandemic, can impair the stability of the entire financial system and worsen macroeconomic downturns.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Coronavirus disease (COVID-19),
Financial markets,
Financial stability,
Monetary and financial indicators
JEL Code(s):
C,
C3,
C32,
E,
E4,
E44,
G,
G0,
G01
A Simple Method for Extracting the Probability of Default from American Put Option Prices
Staff Working Paper 2020-15
Bo Young Chang,
Greg Orosi
A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G13,
G3,
G33
Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields
Staff Working Paper 2020-14
Guihai Zhao
This equilibrium model explains the trend in long-term yields and business-cycle movements in short-term yields and yield spreads. The less-frequent inverted yield curves (and less-frequent recessions) after the 1990s are due to recent secular stagnation and procyclical inflation expectations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G0,
G00,
G1,
G12