Financial stability and systemic risk

• A Counterfactual Valuation of the Stock Index as a Predictor of Crashes

  Staff working paper 2017-38 Tom Roberts

  Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes).

  Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G1, G12, G17, G19 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk

• The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0

  Technical report No. 111 Jose Fique

  This report provides a detailed technical description of the updated MacroFinancial Risk Assessment Framework (MFRAF), which replaces the version described in Gauthier, Souissi and Liu (2014) as the Bank of Canada’s stress-testing model for banks with a focus on domestic systemically important banks (D-SIBs).

  Content Type(s): Staff research, Technical reports JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Financial system regulation and oversight

• The Rise of Non-Regulated Financial Intermediaries in the Housing Sector and its Macroeconomic Implications

  Staff working paper 2017-36 Hélène Desgagnés

  I examine the impact of non-regulated lenders in the mortgage market using a dynamic stochastic general equilibrium (DSGE) model. My model features two types of financial intermediaries that differ in three ways: (i) only regulated intermediaries face a capital requirement, (ii) non-regulated intermediaries finance themselves by selling securities and cannot accept deposits, and (iii) non-regulated intermediaries face a more elastic demand.

  Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, E4, E44, E47, E6, E60, G, G2, G21, G23, G28 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Household and business credit, Models and tools, Economic models