G1 - General Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T11:42:12+00:00What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-61/
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data.2016-12-28T08:34:12+00:00enWhat Fed Funds Futures Tell Us About Monetary Policy Uncertainty2016-12-28Asset pricingFinancial marketsInterest ratesStaff Working Paper 2016-61https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp-2016-61.pdfWhat Fed Funds Futures Tell Us About Monetary Policy UncertaintyJean-Sébastien FontaineDecember 2016EE4E43E44E47GG1G12G13Equity Option-Implied Probability of Default and Equity Recovery Rate
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-58/
There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability.2016-12-15T12:23:13+00:00enEquity Option-Implied Probability of Default and Equity Recovery Rate2016-12-15Asset pricingFinancial marketsMarket structure and pricingStaff Working Paper 2016-58https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-58.pdfEquity Option-Implied Probability of Default and Equity Recovery RateBo Young ChangGreg OrosiDecember 2016GG1G13G3G33Toward More Resilient Markets: Over-the-Counter Derivatives Reform in Canada
https://www.bankofcanada.ca/wp-content/uploads/2016/12/fsr-december-2016-mueller.pdf
In Toward More Resilient Markets: Over-the-Counter Derivatives Reform in Canada, Michael Mueller and André Usche show that the implementation of derivatives market reforms in Canada is well under way and has lessened vulnerabilities. But accompanying changes to market structure have both positive and negative effects that require ongoing attention from authorities.2016-12-15T10:30:57+00:00enToward More Resilient Markets: Over-the-Counter Derivatives Reform in Canada2016-12-15Options Decimalization
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-57/
We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options.2016-12-13T15:04:23+00:00enOptions Decimalization2016-12-13Financial marketsFinancial system regulation and policiesMarket structure and pricingStaff Working Paper 2016-57https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-57.pdfOptions DecimalizationFaith ChinCorey GarriottDecember 2016GG1G14G2G20LL1L10Bank Screening Heterogeneity
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-56/
Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks’ abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have opposite effects.2016-12-13T11:58:20+00:00enBank Screening Heterogeneity2016-12-13Financial institutionsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2016-56https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-56.pdfBank Screening HeterogeneityThibaut DupreyDecember 2016GG1G14G2G21LL1L13Managing Risk Taking with Interest Rate Policy and Macroprudential Regulations
https://www.bankofcanada.ca/2016/11/staff-working-paper-2016-47/
We develop a model in which a financial intermediary’s investment in risky assets—risk taking—is excessive due to limited liability and deposit insurance and characterize the policy tools that implement efficient risk taking.2016-11-01T15:17:59+00:00enManaging Risk Taking with Interest Rate Policy and Macroprudential Regulations2016-11-01Financial system regulation and policiesMonetary policy frameworkStaff Working Paper 2016-47https://www.bankofcanada.ca/wp-content/uploads/2016/11/swp2016-47.pdfManaging Risk Taking with Interest Rate Policy and Macroprudential RegulationsSimona CociubaMalik ShukayevAlexander UeberfeldtNovember 2016EE4E44E5E52GG1G11G18Using Speed and Credit Limits to Address the Procyclicality of Initial Margin at Central Counterparties
https://www.bankofcanada.ca/2016/09/staff-discussion-paper-2016-18/
This paper proposes a practical approach to address the procyclicality of initial margin at central counterparties (CCPs) that can work even in periods of extreme stress. The approach allows CCPs to limit the speed of margin increases resulting from spikes in market volatility.2016-09-12T13:15:25+00:00enUsing Speed and Credit Limits to Address the Procyclicality of Initial Margin at Central Counterparties2016-09-12Financial marketsFinancial stabilityFinancial system regulation and policiesPayment clearing and settlement systemsStaff Discussion Paper 2016-18https://www.bankofcanada.ca/wp-content/uploads/2016/09/sdp2016-18.pdfUsing Speed and Credit Limits to Address the Procyclicality of Initial Margin at Central CounterpartiesNikil ChandeNicholas LabelleSeptember 2016GG1G18On the Value of Virtual Currencies
https://www.bankofcanada.ca/2016/08/staff-working-paper-2016-42/
This paper develops an economic framework to analyze the exchange rate of virtual currency. Three components are important: first, the current use of virtual currency to make payments; second, the decision of forward-looking investors to buy virtual currency (thereby effectively regulating its supply); and third, the elements that jointly drive future consumer adoption and merchant acceptance of virtual currency.2016-08-30T10:26:51+00:00enOn the Value of Virtual Currencies2016-08-30Asset pricingDigital currencies and fintechExchange ratesStaff Working Paper 2016-42https://www.bankofcanada.ca/wp-content/uploads/2016/08/swp2016-42.pdfOn the Value of Virtual CurrenciesWilko BoltMaarten van OordtAugust 2016EE4E42E5E51FF3F31GG1Leaning Within a Flexible Inflation-Targeting Framework: Review of Costs and Benefits
https://www.bankofcanada.ca/2016/08/staff-discussion-paper-2016-17/
This note examines the merits of monetary policy adjustments in response to financial stability concerns, taking into account changes in the state of knowledge since the renewal of the inflation-targeting agreement in 2011. A key financial system vulnerability in Canada is elevated household indebtedness: as more and more households are nearing their debt-capacity limits, the likelihood and severity of a large negative correction in housing markets are also increasing.2016-08-24T14:44:31+00:00enLeaning Within a Flexible Inflation-Targeting Framework: Review of Costs and Benefits2016-08-24Financial stabilityMonetary policy frameworkStaff Discussion Paper 2016-17https://www.bankofcanada.ca/wp-content/uploads/2016/08/sdp2016-17.pdfLeaning Within a Flexible Inflation-Targeting Framework: Review of Costs and BenefitsDenis GoreaOleksiy KryvtsovTamon TakamuraAugust 2016EE0E4E44E5E52E58GG1G18Are Counterparty Arrangements in Reinsurance a Threat to Financial Stability?
https://www.bankofcanada.ca/2016/08/staff-working-paper-2016-39/
Interconnectedness among insurers and reinsurers at a global level is not well understood and may pose a significant risk to the sector, with implications for the macroeconomy. Models of the complex interactions among reinsurers and with other participants in the financial system and the real economy are at a very early stage of development.2016-08-17T10:59:24+00:00enAre Counterparty Arrangements in Reinsurance a Threat to Financial Stability?2016-08-17Financial institutionsFinancial servicesFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2016-39https://www.bankofcanada.ca/wp-content/uploads/2016/08/swp2016-39.pdfAre Counterparty Arrangements in Reinsurance a Threat to Financial Stability?Matt DavisonDarrell LeadbetterBin LuJane VollAugust 2016CC6C63GG1G10G15G18G2G22G28