G - Financial Economics - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-28T18:27:33+00:00Who Pays? CCP Resource Provision in the Post-Pittsburgh World
https://www.bankofcanada.ca/2017/12/staff-discussion-paper-2017-17/
At the Pittsburgh Summit in 2009, G20 countries announced their commitment to clear all standardized over-the-counter (OTC) derivatives through central counterparties (CCPs). Since then, CCPs have become increasingly important and there has been an extensive program of regulatory enhancements to both them and OTC derivatives markets.2017-12-20T10:00:47+00:00enWho Pays? CCP Resource Provision in the Post-Pittsburgh World2017-12-20Financial marketsFinancial stabilityFinancial system regulation and policiesStaff Discussion Paper 2017-17https://www.bankofcanada.ca/wp-content/uploads/2017/12/sdp2017-17.pdfWho Pays? CCP Resource Provision in the Post-Pittsburgh WorldJorge Cruz LopezMark ManningDecember 2017GG0G01G2G28Credit Risk Transfer and Bank Insolvency Risk
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-59/
The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position.2017-12-19T14:37:59+00:00enCredit Risk Transfer and Bank Insolvency Risk2017-12-19Credit risk managementFinancial institutionsFinancial stabilityStaff Working Paper 2017-59https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-59.pdfCredit Risk Transfer and Bank Insolvency RiskMaarten van OordtDecember 2017GG2G21G28G3G32Variance Premium, Downside Risk and Expected Stock Returns
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-58/
We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.2017-12-19T14:27:16+00:00enVariance Premium, Downside Risk and Expected Stock Returns2017-12-19Asset pricingFinancial marketsStaff Working Paper 2017-58https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-58.pdfVariance Premium, Downside Risk and Expected Stock ReturnsBruno FeunouRicardo Lopez AliouchkinRoméo TedongapLai XiDecember 2017GG1G12Credit Crunches from Occasionally Binding Bank Borrowing Constraints
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-57/
We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings.2017-12-19T09:52:31+00:00enCredit Crunches from Occasionally Binding Bank Borrowing Constraints2017-12-19Business fluctuations and cyclesCredit and credit aggregatesEconomic modelsFinancial marketsStaff Working Paper 2017-57https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-57.pdfCredit Crunches from Occasionally Binding Bank Borrowing ConstraintsTom D. HoldenPaul LevineJonathan SwarbrickDecember 2017EE2E22E3E32E5E51GG2Recent Evolution of Canada’s Credit-to-GDP Gap: Measurement and Interpretation
https://www.bankofcanada.ca/2017/12/staff-analytical-note-2017-25/
Over the past several years, the Bank for International Settlements has noted that Canada’s credit-to-GDP gap has widened and is above thresholds indicating future banking stress.2017-12-18T11:08:43+00:00enRecent Evolution of Canada’s Credit-to-GDP Gap: Measurement and Interpretation2017-12-18A Barometer of Canadian Financial System Vulnerabilities
https://www.bankofcanada.ca/2017/12/staff-analytical-note-2017-24/
This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review.2017-12-18T10:27:38+00:00enA Barometer of Canadian Financial System Vulnerabilities2017-12-18Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-55/
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework.2017-12-08T11:59:51+00:00enRisk-Neutral Moment-Based Estimation of Affine Option Pricing Models2017-12-08Asset pricingEconometric and statistical methodsStaff Working Paper 2017-55https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-55.pdfRisk-Neutral Moment-Based Estimation of Affine Option Pricing ModelsBruno FeunouCédric OkouDecember 2017GG1G12What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-54/
We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.2017-12-08T11:32:50+00:00enWhat Drives Episodes of Settlement Fails in the Government of Canada Bond Market?2017-12-08Financial marketsMarket structure and pricingPayment clearing and settlement systemsStaff Working Paper 2017-54https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-54.pdfWhat Drives Episodes of Settlement Fails in the Government of Canada Bond Market?Jean-Sébastien FontaineJames PinningtonAdrian WaltonDecember 2017EE4GG1G2G21LL1Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
https://www.bankofcanada.ca/2017/12/staff-analytical-note-2017-23/
This analytical note evaluates the reliability of proxies for measuring liquidity in Canadian bond markets. We find that price-impact and bid-ask proxies paint a similar picture of evolving liquidity conditions to that obtained from richer measures of liquidity for benchmark Government of Canada bonds.2017-12-08T10:52:32+00:00enDo Liquidity Proxies Measure Liquidity in Canadian Bond Markets?2017-12-08Good Volatility, Bad Volatility and Option Pricing
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-52/
Advances in variance analysis permit the splitting of the total quadratic variation of a
jump diffusion process into upside and downside components. Recent studies establish
that this decomposition enhances volatility predictions, and highlight the
upside/downside variance spread as a driver of the asymmetry in stock price
distributions.2017-12-07T15:19:43+00:00enGood Volatility, Bad Volatility and Option Pricing2017-12-07Asset pricingEconometric and statistical methodsStaff Working Paper 2017-52https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-52.pdfGood Volatility, Bad Volatility and Option PricingBruno FeunouCédric OkouDecember 2017GG1G12