G - Financial Economics - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T10:57:44+00:00Creations and Redemptions in Fixed-Income Exchange-Traded Funds: A Shift from Bonds to Cash
https://www.bankofcanada.ca/2019/12/staff-analytical-note-2019-34/
The creation and redemption activity of fixed-income exchange-traded funds listed in the United States has shifted. Funds of established issuers have traditionally exchanged their shares for baskets of bonds. In contrast, young funds managed by new issuers tend to create and redeem their shares almost exclusively in cash. Cash transactions imply that new funds are taking on exposure to liquidity risk. This has implications for financial stability.2019-12-20T11:08:56+00:00enCreations and Redemptions in Fixed-Income Exchange-Traded Funds: A Shift from Bonds to Cash2019-12-20The Cyber Incident Landscape
https://www.bankofcanada.ca/2019/12/staff-analytical-note-2019-32/
The Canadian financial system is vulnerable to cyber threats. But for many firms, cyber risk is difficult to quantify. We examine public information on past cyber incidents to better understand the current risk landscape and find that a holistic view is needed to fully grasp the nature of this risk.2019-12-13T09:00:23+00:00enThe Cyber Incident Landscape2019-12-13Loan Insurance, Market Liquidity, and Lending Standards
https://www.bankofcanada.ca/2019/12/staff-working-paper-2019-47/
We examine loan insurance—credit risk transfer upon origination—in a model in which lenders can screen, learn loan quality over time, and can sell loans. Some lenders with low screening ability insure, benefiting from higher market liquidity of insured loans while forgoing the option to exploit future information about loan quality.2019-12-09T13:55:35+00:00enLoan Insurance, Market Liquidity, and Lending Standards2019-12-09Financial institutionsFinancial marketsFinancial system regulation and policiesStaff Working Paper 2019-47https://www.bankofcanada.ca/wp-content/uploads/2019/12/swp2019-47.pdfLoan Insurance, Market Liquidity, and Lending StandardsToni AhnertMartin KunclDecember 2019GG0G01G2G21G28Assessment of Liquidity Creation in the Canadian Banking System
https://www.bankofcanada.ca/2019/12/staff-analytical-note-2019-30/
Liquidity creation is a fundamental function of banks. It provides the public with easy access to funds. These funds are important because they allow households and businesses to consume and invest. In this note, we measure liquidity creation by Canadian financial institutions from the first quarter of 2012 to the second quarter of 2019, using a methodology suggested by Berger and Bouwman (2009) and known as the BB measure.2019-12-09T10:25:58+00:00enAssessment of Liquidity Creation in the Canadian Banking System2019-12-09Extreme Downside Risk in Asset Returns
https://www.bankofcanada.ca/2019/12/staff-working-paper-2019-46/
Financial markets can experience sudden and extreme downward movements. Investors are highly concerned about the performance of their assets in such scenarios. Some assets perform badly in a downturn in the market; others have milder reactions.2019-12-06T09:33:41+00:00enExtreme Downside Risk in Asset Returns2019-12-06Asset pricingEconometric and statistical methodsStaff Working Paper 2019-46https://www.bankofcanada.ca/wp-content/uploads/2019/12/SWP2019-46.pdfExtreme Downside Risk in Asset ReturnsLerby ErgunDecember 2019CC1C14GG1G11G12Interconnected Banks and Systemically Important Exposures
https://www.bankofcanada.ca/2019/11/staff-working-paper-2019-44/
How do banks' interconnections in the euro area contribute to the vulnerability of the banking system? We study both the direct interconnections (banks lend to each other) and the indirect interconnections (banks are exposed to similar sectors of the economy). These complex linkages make the banking system more vulnerable to contagion risks.2019-11-20T07:41:59+00:00enInterconnected Banks and Systemically Important Exposures2019-11-20Financial stabilityStaff Working Paper 2019-44https://www.bankofcanada.ca/wp-content/uploads/2019/11/swp2019-44.pdfInterconnected Banks and Systemically Important ExposuresAlan RoncoroniStefano BattistonMarco D’ErricoGrzegorz HalajChristoffer KokNovember 2019CC6C63GG1G15G2G21Borrowing Costs for Government of Canada Treasury Bills
https://www.bankofcanada.ca/2019/10/staff-analytical-note-2019-28/
The cost of borrowing Government of Canada treasury bills (t-bills) in the repurchase (repo) market is mainly explained by the relationship between the parties involved. Some pairs of parties conduct most of their repos for t-bills rather than bonds, and at relatively high borrowing costs. We speculate that these pairs have formed a mutually beneficial service relationship in which one party consistently receives t-bills, while the other receives cash at a relatively cheap rate.2019-10-07T13:42:14+00:00enBorrowing Costs for Government of Canada Treasury Bills2019-10-07The BoC-BoE Sovereign Default Database: What’s New in 2019?
https://www.bankofcanada.ca/2019/09/staff-working-paper-2019-39/
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).2019-09-26T19:22:08+00:00enThe BoC-BoE Sovereign Default Database: What’s New in 2019?2019-09-26Debt managementDevelopment economicsFinancial stabilityInternational financial marketsStaff Working Paper 2019-39https://www.bankofcanada.ca/wp-content/uploads/2019/09/swp2019-39.pdfThe BoC-BoE Sovereign Default Database: What’s New in 2019?David BeersPatrisha de Leon-ManlagnitSeptember 2019FF3F34GG1G10G14G15Bank Runs, Portfolio Choice, and Liquidity Provision
https://www.bankofcanada.ca/2019/09/staff-working-paper-2019-37/
After the financial crisis of 2007–09, many jurisdictions introduced new banking regulations to make banks more resilient and less likely to fail. These regulations included tighter limits for the quality and quantity of bank capital and introduced minimum standards for liquidity. But what was the impact of these changes?2019-09-23T13:24:17+00:00enBank Runs, Portfolio Choice, and Liquidity Provision2019-09-23Financial stabilityWholesale fundingStaff Working Paper 2019-37https://www.bankofcanada.ca/wp-content/uploads/2019/09/swp2019-37.pdfBank Runs, Portfolio Choice, and Liquidity ProvisionToni AhnertMahmoud ElaminSeptember 2019GG0G01G2G21Home Equity Extraction and Household Spending in Canada
https://www.bankofcanada.ca/2019/09/staff-analytical-note-2019-27/
We use rich microdata to measure home equity extraction in Canada and track its evolution over time. We find home equity extraction has been rising in recent years and has likely contributed materially to dynamics in household spending.2019-09-20T06:00:07+00:00enHome Equity Extraction and Household Spending in Canada2019-09-20