Financial markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T11:31:02+00:00Systemic Risk and Portfolio Diversification: Evidence from the Futures Market
https://www.bankofcanada.ca/2021/10/staff-working-paper-2021-50/
This paper explores how the Canadian futures market contributed to banks’ systemic risk during the 2008 financial crisis. It finds that core banks as a whole traded against the periphery, in this way increasing their risk of simultaneous losses.2021-10-13T10:53:46+00:00enSystemic Risk and Portfolio Diversification: Evidence from the Futures Market2021-10-13Financial institutionsFinancial marketsStaff Working Paper 2021-50https://www.bankofcanada.ca/wp-content/uploads/2021/10/swp2021-50.pdfStaff Working Paper 2021-50Radoslav RaykovOctober 2021GG1G10G2G20Foreign Exchange Fixings and Returns Around the Clock
https://www.bankofcanada.ca/2021/10/staff-working-paper-2021-48/
We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes.2021-10-06T09:37:49+00:00enForeign Exchange Fixings and Returns Around the Clock2021-10-06Exchange ratesFinancial marketsMarket structure and pricingStaff Working Paper 2021-48https://www.bankofcanada.ca/wp-content/uploads/2021/10/swp2021-48.pdfForeign Exchange Fixings and Returns Around the ClockIngomar KrohnPhilippe MuellerPaul WhelanOctober 2021FF3F31GG1G15