June 11, 2015
Financial markets
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June 8, 2015
Panel remarks for round table discussion at the 21st Conference of Montréal
Introduction Thank you for the invitation to be here today. I’m honoured to be part of this panel. It’s been more than seven years since the global financial crisis began, and we’re still coping with its aftermath. One of the consequences of the crisis has been a disruption of financial globalization. Global capital flows—to give […] -
May 14, 2015
Fine-Tuning the Framework for the Bank’s Market Operations
Deputy Governor Lynn Patterson discusses proposed changes to the Bank’s financial market operations. -
May 5, 2015
Liquid Markets for a Solid Economy
Senior Deputy Governor Wilkins discusses funding and market liquidity, and announces consultations on the Bank’s market operations and emergency lending frameworks. -
Household Stockholding Behavior During the Great Financial Crisis
Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. -
Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification. -
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. -
Securitization under Asymmetric Information over the Business Cycle
This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly signal its quality. -
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency. -
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?
Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena.