research
NEW
CBDC: Motivations, Technology and Implications [slides]
Big picture overview of the issues around CBDC. Presentation for the CEMLA Course on Financial Market Infrastructures
Estimating Policy Functions in Payments Systems using Reinforcement Learning (with Pablo S. Castro, Ajit Desai, Han Du, and Rod Garratt) Bank of Canada Staff Discussion Paper 2021-7 [paper] [slides] Best Paper at the NeurIPS 2020 workshop: ML for Economic Policy
We use RL methods to estimate the policy functions of participants in payments systems.
Eggs in One Basket: Security and Convenience of Digital Currencies (with Charles M. Kahn and Russell Wong) Federal Reserve Bank of St. Louis Working Paper 2020-032 [pdf] [slides]
We examine the security and convenience tradeoff in digital currencies (agents balancing the risk of theft of a large account with the cost to safeguarding a large number of passwords) and the welfare effects of differing industry structures used to manage them.
WORKING PAPERS
Information Structure and Strategic Interactions in the Payment System Liquidity Management Game (with Victor Aguirregabiria and Erhao Xie) [slides]
We model and estimate the liquidity choice game with a flexible information structure; we find that in the Canadian system, liquidity is a strategic complement and banks have imperfect information about their payment requests.
Intraday Trade Dynamics in Short-term Funding Markets (with Mark Rempel) [pdf] [slides]
We develop a general equilibrium model of overnight funding markets: the key to understand recent dislocations in funding rates is the segmentation of markets due to financial infrastructure and not issues of collateral.
PUBLICATIONS
Should the Central Bank Issue E-money? (with Charles M. Kahn and Russell Wong) [working paper version pdf] [slides] [JFMI November 2020]
We evaluate if new technologies like DLT and mobile computing have changed the tradeoffs in the public provision of payments media in the form of central bank tokens or accounts.
Alternative Futures for Government of Canada Debt Management (with Corey Garriott, Sophie Lefebvre, Guillaume Nolin and Adrian Walton), forthcoming in JFEP, aslo Bank of Canada Staff Discussion Paper 2018-15. [pdf] [slides]
A Policy Framework for E-Money (with Mohammad Davoodalhosseini) [working paper version pdf] [Canadian Public Policy Volume 46, Issue 1, March 2020]
Framework to evaluate the trade-offs that central banks face in the decision to issue new forms of e-money.
Financial Development, Credit and Business Cycles (with Tiago Pinheiro and Marc Teignier) [long WP version pdf] [JMCB Vol 49, Issue 7, October 2017]
We show that financial development has a non-monotonic effect on the degree of amplification of credit cycles: they are most severe at intermediate levels of financial development.
Government Bond Clienteles and Yields (with Jianjian Jin and Jesus Sierra) in Advances in the Practice of Public Investment Management, Palgrave, 2018 [pdf] [slides]
We document the price impact that different clienteles have on government bond yields. Impact can be explained by their investment mandate: indexers and strict-mandate investors have larger price impact than non-indexers.
POLICY WORK
CBDC and E-money
CBDC and Monetary Policy (with Mohammad Davoodalhosseini and Yu Zhu), Bank of Canada Staff Analytical Note [note]
Improving the conduct of monetary policy is unlikely to be the main motivation for central banks to issue a central bank digital currency (CBDC). Although CBDC could allow more complex transfer schemes or the ability to break below the zero lower bound, we find these benefits might be small or difficult to realize in practice.
A Policy Framework for E-Money: A Report on Bank of Canada Research (with Mohammad Davoodalhosseini), Bank of Canada Discussion Paper, 2018-5. [pdf]
Distributed Ledger Technologies and E-money (remarks for the DLT panel discussion at the FMIC II hosted by the DNB, June 7-8, 2017). [pdf]
Fintech and Ai
Fintech: is this time different? (with Meyer Aaron and Samantha Sohal) Bank of Canada Discussion Paper, 2017-10. [pdf] [slides]
Artificial Intelligence in Central Banks: current applications and future agenda (remarks for the inovaBra AI Forum, Sao Paulo, November 7-8, 2018) [slides] [video]
Payments Systems and FMIs:
Liquidity Usage and Payment Delay Estimates of the New Canadian High Value Payments System (with Nellie Zhang), Bank of Canada Staff Discussion Paper 2020-9 [pdf]
We present extensive simulation results of Lynx, the new Canadian high value payments system, under a variety of configurations and payment demand scenarios.
A policy view on developments in the field of financial market infrastructures (with Biliana Alexandrova-Kabadjova, Evangelos Benos, Jo Braithwaite, Jorge Cruz Lopez, Ronald Heijmans, Mark Manning, and David Murphy), FMIC 2 special issue introduction: Journal of Financial Market Infrastructures, Vol 6, Number 2/3. [pdf]
Management of Domestic Debt and Foreign Reserves
Alternative Futures for Government of Canada Debt Management (with Corey Garriott, Sophie Lefebvre, Guillaume Nolin and Adrian Walton), Bank of Canada Staff Discussion Paper 2018-15. [pdf] [slides]
The Government of Canada Debt Securities Data Set (with Jeffrey Gao and Gabriel Rodriguez Rondon), Bank of Canada Technical Report No. 112. [pdf] [data part I] [data part II]
The Code of the Canadian Debt Strategy Model. [Github link]
The Canadian Dollar as Reserve Currency (with Lukasz Pomorski and Eric Wolfe), Bank of Canada Review, Spring 2014. [pdf]
Modelling the Asset-Allocation and Liability Strategy for Canada's Foreign Exchange Reserves (with Jianjian Jin, Narayan Bulusu, Lukasz Pomorski), Bank of Canada Review, Spring 2013. [pdf]
The US Dollar Supranational Zero-Coupon Curve, Bank of Canada Discussion Paper, 2012-5. [pdf] [data]
A Model of the EFA Liabilities (with Oumar Dissou), Bank of Canada Discussion Paper, 2011-11. [pdf]
OTHER PAPERS
Foreign Reserves and Tail Risk (with Jorge Cruz Lopez) [pdf] [slides]
We propose a new direct methodology for the construction of foreign reserves portfolios: choose weights that maximize the portfolio’s expected mark-to-market value when assets are most likely to be liquidated.
Limited Asset Market Participation and the Variation of Real Risk Premia. [pdf]
Monopolies and Economic Growth (with Pablo Pena), Gaceta de Economia, Fall 2009.
An Empirical Analysis of the Law of One Price in Mexico (with Marco Gonzalez), Gaceta de Economia, Fall 2004. [pdf]
Trade Creation and Trade Diversion of Preferential Agreements: New Estimates for NAFTA (with Jose M. Chavez), Gaceta de Economia, Spring 2002.