G - Financial Economics - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T14:22:12+00:00Leverage, Balance Sheet Size and Wholesale Funding
https://www.bankofcanada.ca/2010/12/leverage-balance-sheet-size-and-wholesale-funding/
Some evidence points to the procyclicality of leverage among financial institutions leading to aggregate volatility. This procyclicality occurs when financial institutions finance their assets with non-equity funding (i.e., debt financed asset expansions). Wholesale funding is an important source of market-based funding that allows some institutions to quickly adjust their leverage.2010-12-23T15:27:10+00:00enLeverage, Balance Sheet Size and Wholesale Funding2010-12-23Financial stabilityFinancial system regulation and policiesRecent economic and financial developmentsWorking Paper 2010-39https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-39.pdfLeverage, Balance Sheet Size and Wholesale FundingH. Evren DamarCésaire MehYaz TerajimaDecember 2010GG2G21G28The Impact of Liquidity on Bank Profitability
https://www.bankofcanada.ca/2010/12/working-paper-2010-38/
The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks.2010-12-23T13:04:16+00:00enThe Impact of Liquidity on Bank Profitability2010-12-23Financial institutionsFinancial stabilityFinancial system regulation and policiesWorking Paper 2010-38https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-38.pdfThe Impact of Liquidity on Bank ProfitabilityÉtienne BordeleauChristopher GrahamDecember 2010GG2G21G3G32G33Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
https://www.bankofcanada.ca/2010/12/working-paper-2010-36/
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.2010-12-22T11:16:11+00:00enTesting Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach2010-12-22Econometric and statistical methodsFinancial marketsWorking Paper 2010-36https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-36.pdfTesting Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free ApproachSermin GungorRichard LugerDecember 2010CC1C12C14C3C33GG1G11G12Bank Competition and International Financial Integration: Evidence Using a New Index
https://www.bankofcanada.ca/2010/12/working-paper-2010-35/
This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band.2010-12-20T12:02:08+00:00enBank Competition and International Financial Integration: Evidence Using a New Index2010-12-20Econometric and statistical methodsFinancial marketsInternational topicsWorking Paper 2010-35https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-35.pdfBank Competition and International Financial Integration: Evidence Using a New IndexGurnain PasrichaDecember 2010FF3F32GG1G15G2G21The Macroeconomic Implications of Changes in Bank Capital and Liquidity Requirements in Canada: Insights from the BoC-GEM-FIN
https://www.bankofcanada.ca/2010/12/discussion-paper-2010-16/
The authors use simulations within the BoC-GEM-FIN, the Bank of Canada's version of the Global Economy Model with financial frictions in both the demand and supply sides of the credit market, to investigate the macroeconomic implications of changing bank regulations on the Canadian economy.2010-12-15T10:57:46+00:00enThe Macroeconomic Implications of Changes in Bank Capital and Liquidity Requirements in Canada: Insights from the BoC-GEM-FIN2010-12-15Economic modelsFinancial institutionsFinancial stabilityInternational topicsDiscussion Paper 2010-16https://www.bankofcanada.ca/wp-content/uploads/2010/12/dp10-16.pdfThe Macroeconomic Implications of Changes in Bank Capital and Liquidity Requirements in Canada: Insights from the BoC-GEM-FINCarlos De ResendeAli DibNikita PerevalovDecember 2010EE3E32E4E44E5GG1G2Adverse Selection, Liquidity, and Market Breakdown
https://www.bankofcanada.ca/2010/12/working-paper-2010-32/
This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Even a small amount of adverse selection in the asset market can lead to fire-sale pricing and possibly to a market breakdown if it is accompanied by a flight-to-liquidity, a misassessment of systemic risk, or uncertainty about asset values.2010-12-13T15:02:52+00:00enAdverse Selection, Liquidity, and Market Breakdown2010-12-13Financial institutionsFinancial marketsFinancial stabilityAdverse Selection, Liquidity, and Market Breakdownhttps://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-32.pdfAdverse Selection, Liquidity, and Market BreakdownKoralai KirabaevaDecember 2010DD8D82GG0G01G1G11