Financial institutions

• Funding Advantage and Market Discipline in the Canadian Banking Sector

  Staff Working Paper 2013-50 Mehdi Beyhaghi, Chris D'Souza, Gordon S. Roberts

  We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Interest rates JEL Code(s): G, G0, G01, G2, G21, G28, G3, G32, G33

• CoMargin

  Staff Working Paper 2013-47 Jorge Cruz Lopez, Jeffrey H. Harris, Christophe Hurlin, Christophe Pérignon

  We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions, Financial markets, Financial stability JEL Code(s): G, G1, G13

• Lessons from the Financial Crisis: Bank Performance and Regulatory Reform

  Staff Discussion Paper 2013-4 Neville Arjani, Graydon Paulin

  The financial systems of some countries fared materially better than others during the global financial crisis of 2007-09.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
• November 14, 2013

  Fragmentation in Canadian Equity Markets

  Bank of Canada Review - Autumn 2013 Corey Garriott, Anna Pomeranets, Joshua Slive, Thomas Thorn

  Changes in technology and regulation have resulted in an increasing number of trading venues in equity markets in Canada. New trading platforms have intensified price competition and have encouraged innovation, and they do not appear to have segmented trade. But the increasingly complex market structure has necessitated investments in expensive technology and has introduced new operational risks. Regulatory responses should be carefully adapted to retain the competition and innovation associated with this market fragmentation.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial institutions, Financial markets, Market structure and pricing JEL Code(s): G, G2, L, L1, L13, N, N2, N22

• Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults

  Staff Working Paper 2013-19 M. Hashem Pesaran, TengTeng Xu

  This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial institutions JEL Code(s): E, E3, E32, E4, E44, G, G2, G21

• Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules

  Staff Working Paper 2013-8 Carlos De Resende, Ali Dib, René Lalonde, Nikita Perevalov

  Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant stabilizing effect on key macroeconomic variables, but mostly after financial shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial institutions, Financial stability, International topics JEL Code(s): E, E3, E32, E4, E44, E5, G, G1, G2

• Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne

  Staff Discussion Paper 2013-2 Ramdane Djoudad, Étienne Bordeleau

  Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C1, C13, C18, G, G2, G21, G3, G33

• Real-financial Linkages through Loan Default and Bank Capital

  Staff Working Paper 2013-3 Tamon Takamura

  Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loans and bank capital. Using a model featuring endogenous interactions between firm default and bank capital, this paper revisits the propagation mechanisms of real and financial shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies, Interest rates JEL Code(s): E, E3, E32, E4, E44, E6, E69