Research
Publications
Disentangling the supply and announcement effects of open market operations, Journal of Financial Markets, 2024, vol. 67, https://doi.org/10.1016/j.finmar.2023.100871. (WP version.)
The life-cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and securities lending markets (with Sermin Gungor), Canadian Journal of Economics, 2021, vol. 54, no. 2, pp. 1-25, https://doi.org/10.1111/caje.12505. (WP version.)
What drives interbank loans? Evidence from Canada (with Pierre Guérin), Journal of Banking & Finance, 2019, vol. 106, pp. 427-444.
Working papers
Measuring funding illiquidity in the overnight loan market (with Derek Brito)
Speed is good: An analysis of the configuration of retail payments platforms (with Erhao Xie)
Policy contribution
Estimating the appropriate quantity of settlement balances in a floor system (with Matthew McNeely, Kaetlynd McRae and Jonathan Witmer), Bank of Canada Staff Discussion Paper No. 2023-26
Evolving practices in public investment management: proceedings of the 7th Public Investors Conference (co-edited with Eric Bouyé, Marco Fanari, Patrizia Ferrauto, Mike McMorrow, Shengting Pan, Tommaso Perez, Vahe Sahakyan and Omar Zulaica), BIS Publications, 2020.
Advances in the practice of public investment management: portfolio modelling, performance attribution and governance (co-edited with Joachim Coche, Alejandro Reviez, Francisco Rivadeneyra, Vahe Sahakyan and Ghislain Yanou), Palgrave Macmillan, 2018.
The life cycle of Government of Canada bonds in the core funding markets (with Sermin Gungor), Bank of Canada Review, Spring 2017
Modelling the asset-allocation and liability strategy for Canada's foreign exchange reserves (with Francisco Rivadeneyra, Jianjian Jin and Lukasz Pomorski), Bank of Canada Review, Spring 2013
Inactive papers
Can the common-factor hypothesis explain the observed housing wealth effect? (with Jefferson Duarte and Carles Vergara-Alert), Bank of Canada Staff Working Paper No. 2016-62
Booms and busts in house prices explained by constraints in housing supply (with Jefferson Duarte and Carles Vergara-Alert), Bank of Canada Staff Working Paper No. 2013-18
Frequency of consumption adjustment and the equity premium (with Javier Gómez-Biscarri), available on SSRN, 2012