Financial markets
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More Than Words: Fed Chairs’ Communication During Congressional Testimonies
We measure soft information contained in the congressional testimonies of U.S. Federal Reserve Chairs and analyze its effect on financial markets. Increases in the Chair’s text-, voice-, or face-emotion indices during these testimonies generally raise stock prices and lower their volatility. -
Historical Data on Repurchase Agreements from the Canadian Depository for Securities
We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research. -
Central Bank Liquidity Facilities and Market Making
We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers. -
February 2, 2022
A Canadian interest rate benchmark regime for the future
Deputy Governor Toni Gravelle discusses some important changes that may be coming to Canada’s interest rate benchmarks. -
The Financial Origins of Non-fundamental Risk
We explore the idea that the financial sector can be a source of non-fundamental risk to the rest of the economy. We also consider whether policy can be used to reduce this risk—either by increasing the supply of publicly backed safe assets or by reducing the demand for safe assets. -
Systemic Risk and Portfolio Diversification: Evidence from the Futures Market
This paper explores how the Canadian futures market contributed to banks’ systemic risk during the 2008 financial crisis. It finds that core banks as a whole traded against the periphery, in this way increasing their risk of simultaneous losses. -
Foreign Exchange Fixings and Returns Around the Clock
We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes. -
Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios
“Reach for yield”—This is the commonly heard explanation for why pension plans shift their portfolios toward alternative assets. But we show that the new portfolios also hold more bonds, offer lower average returns and produce smaller and less volatile solvency deficits. These shifts are part of a broader strategy to reduce solvency risk. -
Bank Runs, Bank Competition and Opacity
How is the stability of the financial sector affected by competition in the deposit market and by decisions banks make about transparency? We find that policies that aim to increase bank competition lead to higher bank deposit rates, increasing both withdrawal incentives and instability.