Fuchun Li - Bank Publications - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T07:53:19+00:00Quantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System
https://www.bankofcanada.ca/2021/12/staff-working-paper-2021-64/
Canada is undertaking a major initiative to modernize its payments ecosystem. The modernized ecosystem is expected to bring significant benefits to Canadian financial markets and the overall economy. We develop an empirical framework to quantify the economic benefits of modernizing the payment system in Canada.2021-12-17T16:20:19+00:00enQuantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System2021-12-17Financial institutionsFinancial system regulation and policiesPayment clearing and settlement systemsStaff Working Paper 2021-64https://www.bankofcanada.ca/wp-content/uploads/2021/12/swp2021-64.pdfStaff Working Paper 2021-64Neville ArjaniFuchun LiZhentong LuDecember 2021CC3EE4E42GG1G2G28Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-21/
We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks.2016-04-27T13:39:57+00:00enEarly Warning of Financial Stress Events: A Credit-Regime-Switching Approach2016-04-27Econometric and statistical methodsFinancial stabilityStaff Working Paper 2016-21https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-21.pdfEarly Warning of Financial Stress Events: A Credit-Regime-Switching ApproachFuchun LiHongyu XiaoApril 2016CC1C12C14GG0G01G1G17Measuring Systemic Risk Across Financial Market Infrastructures
https://www.bankofcanada.ca/2016/03/staff-working-paper-2016-10/
We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant.2016-03-15T08:37:05+00:00enMeasuring Systemic Risk Across Financial Market Infrastructures2016-03-15Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Working Paper 2016-10https://www.bankofcanada.ca/wp-content/uploads/2016/03/swp2016-10.pdfMeasuring Systemic Risk Across Financial Market InfrastructuresFuchun LiHéctor Pérez SaizMarch 2016CC5C58GG2G21G23Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
https://www.bankofcanada.ca/2015/06/working-paper-2015-17/
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.2015-06-05T10:44:33+00:00enTesting for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates2015-06-05Asset pricingEconometric and statistical methodsInterest ratesWorking Paper 2015-17https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-17.pdfTesting for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest RatesFuchun LiJune 2015CC1C12C14EE1E17E4E43GG1G12G2G20Predicting Financial Stress Events: A Signal Extraction Approach
https://www.bankofcanada.ca/2014/09/working-paper-2014-37/
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.2014-09-04T09:14:36+00:00enPredicting Financial Stress Events: A Signal Extraction Approach2014-09-04Econometric and statistical methodsFinancial stabilityWorking Paper 2014-37https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-37.pdfPredicting Financial Stress Events: A Signal Extraction ApproachIan ChristensenFuchun LiAugust 2014CC1C14C4EE3E37E4E47FF3F36F37GG0G01G1G17A Semiparametric Early Warning Model of Financial Stress Events
https://www.bankofcanada.ca/2013/05/working-paper-2013-13/
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.2013-05-14T12:28:51+00:00enA Semiparametric Early Warning Model of Financial Stress Events2013-05-14Econometric and statistical methodsFinancial stabilityWorking Paper 2013-13https://www.bankofcanada.ca/wp-content/uploads/2013/05/wp2013-13.pdfA Semiparametric Early Warning Model of Financial Stress EventsIan ChristensenFuchun LiMay 2013CC1C12C14GG0G01G1G17Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
https://www.bankofcanada.ca/2011/09/working-paper-2011-19/
In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system.2011-09-30T09:04:00+00:00enMeasuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach2011-09-30Econometric and statistical methodsFinancial institutionsFinancial stabilityFinancial system regulation and policiesWorking Paper 2011-19https://www.bankofcanada.ca/wp-content/uploads/2011/09/wp2011-19.pdfMeasuring Systemic Importance of Financial Institutions: An Extreme Value Theory ApproachToni GravelleFuchun LiSeptember 2011CC1C14C5C58GG2G21G3G32Financial Stress, Monetary Policy, and Economic Activity
https://www.bankofcanada.ca/wp-content/uploads/2010/11/li.pdf
The recent global crisis was characterized by a remarkable intensity in the negative feedback process between financial sector developments and the real economy.2010-11-18T08:16:20+00:00enFinancial Stress, Monetary Policy, and Economic Activity2010-11-18Identifying Asymmetric Comovements of International Stock Market Returns
https://www.bankofcanada.ca/2010/08/working-paper-2010-21/
Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns.2010-08-05T15:32:38+00:00enIdentifying Asymmetric Comovements of International Stock Market Returns2010-08-05Econometric and statistical methodsFinancial stabilityFinancial system regulation and policiesInternational topicsWorking Paper 2010-21https://www.bankofcanada.ca/wp-content/uploads/2010/08/wp10-21.pdfIdentifying Asymmetric Comovements of International Stock Market ReturnsFuchun LiAugust 2010CC4C49FF2F21GG1G15G19Financial Stress, Monetary Policy, and Economic Activity
https://www.bankofcanada.ca/2010/05/working-paper-2010-12/
This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold.2010-05-21T13:24:59+00:00enFinancial Stress, Monetary Policy, and Economic Activity2010-05-21Financial stabilityMonetary policy and uncertaintyWorking Paper 2010-12https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp10-12.pdfFinancial Stress, Monetary Policy, and Economic ActivityFuchun LiPierre St-AmantMay 2010CC0C01EE5E50GG0G01