G15 - International Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T22:51:40+00:00A 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 Vulnerabilities2017-12-18Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-33/
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability.2017-08-10T07:38:59+00:00enOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions2017-08-10Asset pricingEconometric and statistical methodsExchange ratesInterest ratesStaff Working Paper 2017-33https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-33.pdfOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear RegressionsAntonio Diez de los RiosAugust 2017EE4E43FF3F31GG1G12G15How to Predict Financial Stress? An Assessment of Markov Switching Models
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-32/
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.2017-08-04T12:08:21+00:00enHow to Predict Financial Stress? An Assessment of Markov Switching Models2017-08-04Business fluctuations and cyclesCentral bank researchEconometric and statistical methodsFinancial marketsFinancial stabilityFinancial system regulation and policiesMonetary and financial indicatorsStaff Working Paper 2017-32https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-32.pdfHow to Predict Financial Stress? An Assessment of Markov Switching ModelsBenjamin KlausThibaut DupreyAugust 2017CC5C54GG0G01G1G15Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals
https://www.bankofcanada.ca/2017/06/staff-working-paper-2017-22/
This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps.2017-06-19T09:10:04+00:00enDetecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals2017-06-19Econometric and statistical methodsExchange ratesInternational financial marketsStaff Working Paper 2017-22https://www.bankofcanada.ca/wp-content/uploads/2017/06/swp2017-22.pdfDetecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic FundamentalsLorenzo PozziBarbara SadabaJune 2017CC3C32FF3F31GG1G15What Explains Month-End Funding Pressure in Canada?
https://www.bankofcanada.ca/2017/06/staff-discussion-paper-2017-9/
The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon.2017-06-13T11:10:19+00:00enWhat Explains Month-End Funding Pressure in Canada?2017-06-13Financial marketsInterest ratesMonetary policy frameworkMonetary policy implementationMonetary policy transmissionStaff Discussion Paper 2017-9https://www.bankofcanada.ca/wp-content/uploads/2017/06/sdp2017-9.pdfWhat Explains Month-End Funding Pressure in Canada?Christopher S. SutherlandJune 2017EE4E41E43E5E52E58FF3F36GG1G14G15G2G21Wholesale Funding of the Big Six Canadian Banks
https://www.bankofcanada.ca/wp-content/uploads/2017/05/boc-review-spring17-truno.pdf
The Big Six Canadian banks are a dominant component of the Canadian financial system. How they finance their business activities is fundamental to how effective they are. Retail and commercial deposits along with wholesale funding represent the two major sources of funds for Canadian banks. What wholesale funding instruments do the Big Six banks use? How do they choose between different funding sources, funding strategies and why? How have banks changed their funding mix since the 2007–09 global financial crisis?2017-05-11T10:27:11+00:00enWholesale Funding of the Big Six Canadian Banks2017-05-11