James Chapman is the Research Director in the Funds Management and Banking Department at the Bank of Canada. James received a Ph.D. in economics and a MSc in statistics from the University of Iowa in 2006 and joined the Bank of Canada as a senior analyst in that year. James’s primary research focus has been on payment and settlement related issues such as liquidity risk and credit risk in large-value payment systems and interbank markets. He has also recently become increasingly involved on research related to financial intermediation related topics such as shadow banking.
How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses.
In this paper, we investigate how liquidity conditions in Canada may affect domestic and/or foreign lending of globally active banks and whether this transmission is influenced by individual bank characteristics.
The payments landscape in Canada is rapidly changing and will continue to evolve, fuelled by strong and persistent drivers. In Canada, the Canadian Payments Association (CPA) is on a path to modernize Canada’s core payment systems.
The Bank of Canada’s annual economic conference, held in October 2012, brought together experts from across Canada and around the world to discuss key issues concerning financial intermediation and vulnerabilities. The conference covered such topics as household finances and their relationship to financial stability, as well as bank regulation, securitization and shadow banking.
Using detailed loan transactions-level data we examine the efficiency of an overnight interbank lending market, and the bargaining power of its participants. Our analysis relies on the equilibrium concept of the core, which imposes a set of no-arbitrage conditions on trades in the market.
“Central Bank Haircut Policy” (with Jonathan Chiu and Miguel Molico) Annals of Finance, Vol. 7, No. 3, (August 2011), pages 319-348
“A Model of Tiered Settlement Networks” (with Jonathan Chiu and Miguel Molico) Journal of Money, Credit and Banking, Forthcoming
“Rediscounting Under Aggregate Risk with Moral Hazard” (with Antoine Martin) Journal of Money, Credit and Banking, Forthcoming
"Bounding Revenue Comparisons across Multi-Unit Auction Formats under ?-Best Response" (with David McAdams and Harry J. Paarsch) American Economic Review, Vol. 97, No. 2 (May 2007), pages 455-458.
"Which Bank is the 'Central' Bank? An Application of Markov Theory to the Canadian Large-Value Transfer System" (with Morten Bech and Rod Garratt), Journal of Monetary Economics, Vol. 57, No. 3 (April 2010), pages 352-363.