Canadian Repo Market Ecology Staff Discussion Paper 2016-8 Corey Garriott, Kyle Gray This is the first of the Financial Markets Department’s descriptions of Canadian financial industrial organization. The document discusses the organization of the repurchase-agreement (repo) market in Canada. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G18, G2, G21, G23
Wait a Minute: The Efficacy of Discounting versus Non-Pecuniary Payment Steering Staff Working Paper 2016-8 Angelika Welte Merchants who accept credit cards face payment processing fees. In most countries, the no-surcharge rule prohibits them from using surcharges to pass these fees on to customers. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): D, D1, D12, E, E5, E58, G, G2, G28
Trends in Firm Entry and New Entrepreneurship in Canada Staff Discussion Paper 2015-11 Shutao Cao, Mohanad Salameh, Mai Seki, Pierre St-Amant Recently released data show downward trends for both the firm entry rate and the rate of new entrepreneurship since the early 1980s in Canada. This paper documents these trends and discusses potential explanations. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Firm dynamics, Market structure and pricing, Productivity JEL Code(s): L, L1, L11, M, M1, M13
Exchange Rate Pass-Through, Currency of Invoicing and Market Share Staff Working Paper 2015-31 Michael Devereux, Wei Dong, Ben Tomlin This paper investigates the impact of market structure on the joint determination of exchange rate pass-through and currency of invoicing in international trade. A novel feature of the study is the focus on market share of firms on both sides of the market—that is, exporting firms and importing firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Inflation and prices, Market structure and pricing JEL Code(s): F, F3, F4
December 10, 2014 Exchange-Traded Funds: Evolution of Benefits, Vulnerabilities and Risks Financial System Review - December 2014 Ian Foucher, Kyle Gray Ian Foucher and Kyle Gray explain the different types of exchange-traded funds (ETFs), which present both benefits and risks for investors. They discuss ways in which the risk characteristics of certain ETF products could have broader implications for the financial system, and describe the evolution of ETF market structure and regulation in different jurisdictions as authorities try to mitigate risks related to ETFs. Content Type(s): Publications, Financial System Review articles Research Topic(s): Financial markets, Financial stability, Market structure and pricing JEL Code(s): G, G1, G14, G18, G2, G20
On the Importance of Sales for Aggregate Price Flexibility Staff Working Paper 2014-45 Oleksiy Kryvtsov, Nicolas Vincent Macroeconomists have traditionally ignored the behavior of temporary price markdowns (“sales”) by retailers. Although sales are common in the micro price data, they are assumed to be unrelated to macroeconomic phenomena and generally filtered out. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Market structure and pricing, Monetary policy transmission JEL Code(s): E, E3, E31, E32, E5, E52, L, L1, L11, L2, L25, L8, L81, M, M3, M31
High-Frequency Trading Competition Staff Working Paper 2014-19 Jonathan Brogaard, Corey Garriott, Anna Pomeranets We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1
Uncertain Costs and Vertical Differentiation in an Insurance Duopoly Staff Working Paper 2014-14 Radoslav Raykov Classical oligopoly models predict that firms differentiate vertically as a way of softening price competition, but some metrics suggest very little quality differentiation in the U.S. auto insurance market. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Market structure and pricing JEL Code(s): D, D4, D43, D8, D81, G, G2, G22, L, L2, L22
November 14, 2013 Fragmentation in Canadian Equity Markets Bank of Canada Review - Autumn 2013 Corey Garriott, Anna Pomeranets, Joshua Slive, Thomas Thorn Changes in technology and regulation have resulted in an increasing number of trading venues in equity markets in Canada. New trading platforms have intensified price competition and have encouraged innovation, and they do not appear to have segmented trade. But the increasingly complex market structure has necessitated investments in expensive technology and has introduced new operational risks. Regulatory responses should be carefully adapted to retain the competition and innovation associated with this market fragmentation. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Financial institutions, Financial markets, Market structure and pricing JEL Code(s): G, G2, L, L1, L13, N, N2, N22
Volatility and Liquidity Costs Staff Working Paper 2013-29 Selma Chaker Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C1, C14, C5, C51, C58, G, G2, G20