November 18, 2010
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1010
result(s)
Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings
Staff Working Paper 2010-29
Céline Gauthier,
Zhongfang He,
Moez Souissi
We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
C,
C1,
C15,
C8,
C81,
E,
E4,
E44,
G,
G0,
G01,
G2,
G21
Capital Requirement and Financial Frictions in Banking: Macroeconomic Implications
Staff Working Paper 2010-26
Ali Dib
The author develops a dynamic stochastic general-equilibrium model with an active banking sector, a financial accelerator, and financial frictions in the interbank and bank capital markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Financial markets,
Financial stability
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G1
Losses from Simulated Defaults in Canada's Large Value Transfer System
Staff Discussion Paper 2010-14
Nellie Zhang,
Tom Hossfeld
The Large Value Transfer System (LVTS) loss-sharing mechanism was designed to ensure that, in the event of a one-participant default, the collateral pledged by direct members of the system would be sufficient to cover the largest possible net debit position of a defaulting participant. However, the situation may not hold if the indirect effects of the defaults are taken into consideration, or if two participants default during the same payment cycle.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E47,
G,
G2,
G21
The Effect of Exchange Rate Movements on Heterogeneous Plants: A Quantile Regression Analysis
Staff Working Paper 2010-25
Ben Tomlin,
Loretta Fung
In this paper, we examine how the effect of movements in the real exchange rate on manufacturing plants depends on the plant's placement within the productivity distribution. Appreciations of the local currency expose domestic plants to more competition from abroad as export opportunities shrink and import competition intensifies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Market structure and pricing,
Productivity
JEL Code(s):
D,
D2,
D21,
F,
F1,
L,
L1,
L16,
L6,
L60
Banks, Credit Market Frictions, and Business Cycles
Staff Working Paper 2010-24
Ali Dib
The author proposes a micro-founded framework that incorporates an active banking sector into a dynamic stochastic general-equilibrium model with a financial accelerator.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial stability
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G1
Central Bank Haircut Policy
Staff Working Paper 2010-23
James Chapman,
Jonathan Chiu,
Miguel Molico
We present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two types of insurance: insurance against liquidity risk as well as insurance against downside risk of the collateral.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Financial services,
Financial system regulation and policies,
Monetary policy implementation,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E40,
E5,
E50
Evaluating the Effect of the Bank of Canada's Conditional Commitment Policy
Staff Discussion Paper 2010-11
Zhongfang He
The author evaluates the effect of the Bank of Canada's conditional commitment regarding the target overnight rate on longer-term market interest rates by taking into account the relationship between interest rates, inflation, and unemployment rates.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Interest rates,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E5,
E6
Liquidity Transformation and Bank Capital Requirements
Staff Working Paper 2010-22
Hajime Tomura
This paper presents a dynamic general equilibrium model where asymmetric information about asset quality leads to asset illiquidity. Banking arises endogenously in this environment as banks can pool illiquid assets to average out their idiosyncratic qualities and issue liquid liabilities backed by pooled assets whose total quality is public information.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D82,
E,
E4,
E44,
G,
G2,
G21
August 19, 2010
Should Monetary Policy Be Used to Counteract Financial Imbalances?
The authors examine whether monetary policy should and could do more to lean against financial imbalances (such as those associated with asset-price bubbles or unsustainable credit expansion) as they are building up, or whether its role should be limited to cleaning up the economic consequences as the imbalances unwind.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial system regulation and policies,
Monetary policy framework