This paper examines the price impact of trading intensity on an emerging futures market. Utilizing anovel volume-augmented duration model of price discovery, the intensity effect is decomposed intoliquidity and information components for the MexDer 28-day interest rate futures contract. We...

The Bank of Canada must come to play a recognized, central leadership role in shaping policy if Canada is to better manage risks to financial sector stability. This can be accomplished by giving the Bank a clearly acknowledged oversight and investigative mandate regarding financial stability –...