Financial stability - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T11:19:02+00:00CoMargin
https://www.bankofcanada.ca/2013/12/working-paper-2013-47/
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.2013-12-20T10:09:24+00:00enCoMargin2013-12-20Econometric and statistical methodsFinancial institutionsFinancial marketsFinancial stabilityWorking Paper 2013-47https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-47.pdfCoMarginJorge Cruz LopezJeffrey H. HarrisChristophe HurlinChristophe PérignonDecember 2013GG1G13Central Bank Communications Before, During and After the Crisis: From Open-Market Operations to Open-Mouth Policy
https://www.bankofcanada.ca/2013/11/working-paper-2013-41/
The days when secrecy and opacity were the bywords of central banking are gone. The advent of inflation targeting in the early 1990s acted as the catalyst for enhanced transparency and communications in the conduct of monetary policy.2013-11-18T11:20:03+00:00enCentral Bank Communications Before, During and After the Crisis: From Open-Market Operations to Open-Mouth Policy2013-11-18Central bank researchCredibilityFinancial stabilityInflation targetsMonetary policy frameworkMonetary policy implementationWorking Paper 2013-41https://www.bankofcanada.ca/wp-content/uploads/2013/11/wp2013-41.pdfCentral Bank Communications Before, During and After the Crisis: From Open-Market Operations to Open-Mouth PolicyIanthi VayidNovember 2013EE5E52E58Assessing Financial System Vulnerabilities: An Early Warning Approach
https://www.bankofcanada.ca/wp-content/uploads/2013/11/boc-review-autumn13-pasricha.pdf
This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use to assess vulnerabilities.2013-11-14T08:09:13+00:00enAssessing Financial System Vulnerabilities: An Early Warning Approach2013-11-14The Safety of Government Debt
https://www.bankofcanada.ca/2013/10/working-paper-2013-34/
We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of government bonds is driven by strategic complementarities across counterparties and the structure of trading relationships.2013-10-01T10:44:04+00:00enThe Safety of Government Debt2013-10-01Economic modelsFinancial stabilityInternational financial marketsWorking Paper 2013-34https://www.bankofcanada.ca/wp-content/uploads/2013/10/wp2013-34.pdfThe Safety of Government DebtKartik AnandPrasanna GaiOctober 2013DD8D81EE4E44FF0F02F4F41GG1G15The ‘Celtic Crisis’: Guarantees, Transparency and Systemic Liquidity Risk
https://www.bankofcanada.ca/2013/09/working-paper-2013-31/
Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of some European countries, most notably Ireland, have demonstrated, the credibility and effectiveness of these guarantees are crucially intertwined with the sovereign’s funding risks.2013-09-05T10:50:21+00:00enThe ‘Celtic Crisis’: Guarantees, Transparency and Systemic Liquidity Risk2013-09-05Financial stabilityFinancial system regulation and policiesWorking Paper 2013-31https://www.bankofcanada.ca/wp-content/uploads/2013/09/wp2013-31.pdfThe ‘Celtic Crisis’: Guarantees, Transparency and Systemic Liquidity RiskPhilipp KönigKartik AnandFrank HeinemannSeptember 2013DD8D89GG0G01G2G28A Semiparametric Early Warning Model of Financial Stress Events
https://www.bankofcanada.ca/2013/05/working-paper-2013-13/
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.2013-05-14T12:28:51+00:00enA Semiparametric Early Warning Model of Financial Stress Events2013-05-14Econometric and statistical methodsFinancial stabilityWorking Paper 2013-13https://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-13.pdfA Semiparametric Early Warning Model of Financial Stress EventsIan ChristensenFuchun LiMay 2013CC1C12C14GG0G01G1G17Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules
https://www.bankofcanada.ca/2013/04/working-paper-2013-8/
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.2013-04-08T11:40:14+00:00enCountercyclical Bank Capital Requirement and Optimized Monetary Policy Rules2013-04-08Economic modelsFinancial institutionsFinancial stabilityInternational topicsWorking Paper 2013-08https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-08.pdfCountercyclical Bank Capital Requirement and Optimized Monetary Policy RulesCarlos De ResendeAli DibRené LalondeNikita PerevalovApril 2013EE3E32E4E44E5GG1G2Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne
https://www.bankofcanada.ca/2013/03/discussion-paper-2013-2/
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.2013-03-07T09:29:18+00:00frMéthodologie de construction de séries de taux de défaut pour l’industrie canadienne2013-03-07Econometric and statistical methodsFinancial institutionsFinancial stabilityDiscussion Paper 2013-02https://www.bankofcanada.ca/wp-content/uploads/2013/03/dp2013-02.pdfMéthodologie de construction de séries de taux de défaut pour l’industrie canadienneRamdane DjoudadÉtienne BordeleauMarch 2013CC1C13C18GG2G21G3G33Conference Summary: Financial Intermediation and Vulnerabilities
https://www.bankofcanada.ca/wp-content/uploads/2013/02/boc-review-winter-12-13-allen.pdf
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.2013-02-21T10:30:03+00:00enConference Summary: Financial Intermediation and Vulnerabilities2013-02-21Financial Development and the Volatility of Income
https://www.bankofcanada.ca/2013/01/working-paper-2013-4/
This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuations in a cross-section of economies with different sizes of their financial sector.2013-01-30T10:48:33+00:00enFinancial Development and the Volatility of Income2013-01-30Credit and credit aggregatesFinancial stabilityWorking Paper 2013-4https://www.bankofcanada.ca/wp-content/uploads/2013/01/wp2013-04.pdfFinancial Development and the Volatility of IncomeTiago PinheiroFrancisco RivadeneyraMarc TeignierJanuary 2013EE3E32E6E60