Corey Garriott

Principal Researcher

Corey Garriott is a Principal Researcher in the Financial Markets Department at the Bank of Canada. He is a researcher in market microstructure whose primary research interests center on the liquidity impact of new regulation and technology. He has worked on banking regulation, high-frequency trading, decimalization and order-flow segmentation. Corey Garriott received his PhD in economics from UCLA.

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Corey Garriott

Principal Researcher
Financial Markets
Market Structure and Regulation

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Latest

Customer Liquidity Provision in Canadian Bond Markets

Staff Analytical Note 2018-12 Corey Garriott, Jesse Johal
This analytical note assesses the prevalence of liquidity provision by institutional investors in Canadian bonds. We find that the practice is not prevalent in Canada. Customer liquidity provision is more prevalent for less liquid bonds, on days when liquidity is already expensive or when there are larger trading volumes. In our interpretation, Canadian dealers draw on customer liquidity as a supplementary source of liquidity and only when necessary, given its cost.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial Institutions, Financial markets, Financial system regulation and policies, Market structure and pricing, Recent economic and financial developments JEL Code(s): G, G1, G14, G2, G20, L, L1

High-Frequency Trading and Institutional Trading Costs

Staff Working Paper 2018-8 Marie Chen, Corey Garriott
Using bond futures data, we test whether high-frequency trading (HFT) is engaging in back running, a trading strategy that can create costs for financial institutions. We reject the hypothesis of back running and find instead that HFT mildly improves trading costs for institutions.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1, L10

The Impacts of Monetary Policy Statements

Staff Analytical Note 2017-22 Bruno Feunou, Corey Garriott, James Kyeong, Raisa Leiderman
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Asset Pricing, Exchange rates, Interest rates, Monetary policy communications, Transmission of monetary policy JEL Code(s): E, E4, E43, E5, E52, F, F3, F31, G, G1, G12

Do Canadian Broker-Dealers Act as Agents or Principals in Bond Trading?

Staff Analytical Note 2017-11 Daniel Hyun, Jesse Johal, Corey Garriott
Technology, risk tolerance and regulation may influence dealers to reduce their trading as principals (using their own balance sheets for sales and purchases of securities) in favour of agency trading (matching client trades).
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial Institutions, Financial markets, Financial system regulation and policies, Market structure and pricing, Recent economic and financial developments JEL Code(s): G, G1, G14, G2, G20, L, L1

Banking Regulation and Market Making

Staff Working Paper 2017-7 David A. Cimon, Corey Garriott
We present a model of market makers subject to recent banking regulations: liquidity and capital constraints in the style of Basel III and a position limit in the style of the Volcker Rule.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1, L10

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Education

  • Ph.D., UCLA (2012)
  • M.Phil., Cambridge (2006)
  • BA (Honours), University of South Carolina (2005)

Research Interests

  • Market microstructure
  • Game theory

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