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379
result(s)
The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News
Staff Working Paper 2020-8
Ron Alquist,
Reinhard Ellwanger,
Jianjian Jin
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Recent economic and financial developments
JEL Code(s):
D,
D8,
D83,
E,
E4,
E44,
G,
G1,
G14,
G15,
Q,
Q4,
Q41,
Q43
Contagion in Dealer Networks
Staff Working Paper 2020-1
Jean-Sébastien Fontaine,
Adrian Walton
Dealers connect investors who want to buy or sell securities in financial markets. Over time, dealers and investors form trading networks to save time and resources. An emerging field
of research investigates how networks form.
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,
L14
Creations and Redemptions in Fixed-Income Exchange-Traded Funds: A Shift from Bonds to Cash
Staff Analytical Note 2019-34
Rohan Arora,
Sébastien Betermier,
Guillaume Ouellet Leblanc,
Adriano Palumbo,
Ryan Shotlander
The creation and redemption activity of fixed-income exchange-traded funds listed in the United States has shifted. Funds of established issuers have traditionally exchanged their shares for baskets of bonds. In contrast, young funds managed by new issuers tend to create and redeem their shares almost exclusively in cash. Cash transactions imply that new funds are taking on exposure to liquidity risk. This has implications for financial stability.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23
Furor over the Fed : Presidential Tweets and Central Bank Independence
Staff Analytical Note 2019-33
Antoine Camous,
Dmitry Matveev
We illustrate how market data can be informative about the interactions between monetary and fiscal policy. Federal funds futures are private contracts that reflect investor’s expectations about monetary policy decisions.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Central bank research,
Credibility,
Financial markets,
Monetary policy
JEL Code(s):
E,
E4,
E44,
E5,
E52,
E58
The Cyber Incident Landscape
Staff Analytical Note 2019-32
Nikil Chande,
Dennis Yanchus
The Canadian financial system is vulnerable to cyber threats. But for many firms, cyber risk is difficult to quantify. We examine public information on past cyber incidents to better understand the current risk landscape and find that a holistic view is needed to fully grasp the nature of this risk.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G2,
G28,
M,
M1,
M15,
O,
O3,
O33,
O38
Loan Insurance, Market Liquidity, and Lending Standards
Staff Working Paper 2019-47
Toni Ahnert,
Martin Kuncl
We examine loan insurance—credit risk transfer upon origination—in a model in which lenders can screen, learn loan quality over time, and can sell loans. Some lenders with low screening ability insure, benefiting from higher market liquidity of insured loans while forgoing the option to exploit future information about loan quality.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28
Borrowing Costs for Government of Canada Treasury Bills
Staff Analytical Note 2019-28
Jabir Sandhu,
Adrian Walton,
Jessica Lee
The cost of borrowing Government of Canada treasury bills (t-bills) in the repurchase (repo) market is mainly explained by the relationship between the parties involved. Some pairs of parties conduct most of their repos for t-bills rather than bonds, and at relatively high borrowing costs. We speculate that these pairs have formed a mutually beneficial service relationship in which one party consistently receives t-bills, while the other receives cash at a relatively cheap rate.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10,
G11,
G12,
G2,
G20,
G21,
G23,
G3,
G32
What Does Structural Analysis of the External Finance Premium Say About Financial Frictions?
Staff Working Paper 2019-38
Jelena Zivanovic
I use a structural vector autoregression (SVAR) with sign restrictions to provide conditional evidence on the behavior of the US external finance premium (EFP). The results indicate that the excess bond premium, a proxy for the EFP, reacts countercyclically to supply and monetary policy shocks and procyclically to demand shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Recent economic and financial developments
JEL Code(s):
E,
E3,
E32,
E4,
E44
Bridging Canadian Business Lending and Market-Based Risk Measures
Staff Analytical Note 2019-26
Guillaume Ouellet Leblanc,
Maxime Leboeuf
Lending to business is central to economic growth because it supports investment by firms. Knowing how market participants view risk in the financial system can give the Bank of Canada information about future growth in business loans. In this note, we look at three market-based risk measures and find that sudden increases in the perception of risk in the Canadian banking system are associated with a weaker outlook for business loans and real gross domestic product.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Financial markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G1,
G12