Tom Roberts - Bank Publications - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T00:26:15+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 Vulnerabilities2017-12-18A Counterfactual Valuation of the Stock Index as a Predictor of Crashes
https://www.bankofcanada.ca/2017/09/staff-working-paper-2017-38/
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).2017-09-20T11:43:44+00:00enA Counterfactual Valuation of the Stock Index as a Predictor of Crashes2017-09-20Asset pricingFinancial stabilityStaff Working Paper 2017-38https://www.bankofcanada.ca/wp-content/uploads/2017/09/swp2017-38.pdfA Counterfactual Valuation of the Stock Index as a Predictor of CrashesTom RobertsSeptember 2017GG0G01G1G12G17G19Household Risk Assessment Model
https://www.bankofcanada.ca/2016/09/technical-report-106/
Household debt can be an important source of vulnerability to the financial system. This technical report describes the Household Risk Assessment Model (HRAM) that has been developed at the Bank of Canada to stress test household balance sheets at the individual level.2016-09-12T14:12:27+00:00frHousehold Risk Assessment Model2016-09-12Financial stabilityHousingSectoral balance sheetTechnical Report 106https://www.bankofcanada.ca/wp-content/uploads/2016/09/tr106.pdfHousehold Risk Assessment ModelBrian PetersonTom RobertsSeptember 2016CC0C6C63C65DD0D1D14The Impact of Macroprudential Housing Finance Tools in Canada: 2005–10
https://www.bankofcanada.ca/2016/08/staff-working-paper-2016-41/
This paper combines loan-level administrative data with household-level survey data to analyze the impact of recent macroprudential policy changes in Canada using a microsimulation model of mortgage demand of first-time homebuyers.2016-08-25T14:25:34+00:00frThe Impact of Macroprudential Housing Finance Tools in Canada: 2005–102016-08-25Financial system regulation and policiesStaff Working Paper 2016-41https://www.bankofcanada.ca/wp-content/uploads/2016/08/swp2016-41.pdfThe Impact of Macroprudential Housing Finance Tools in Canada: 2005–10Jason AllenTimothy GriederBrian PetersonTom RobertsAugust 2016CC6C63DD1D14GG2G28Indebted Households and Potential Vulnerabilities for the Canadian Financial System: A Microdata Analysis
https://www.bankofcanada.ca/wp-content/uploads/2015/12/fsr-december2015-cateau.pdf
Over the past decade, an increasing proportion of households in Canada have become highly indebted relative to their income. These highly indebted households now hold one-fifth of total Canadian household debt.Simulations suggest that this greater degree of household indebtedness could exacerbate the impact of shocks to income and interest rates relative to the pre-crisis period. However, an assessment of the vulnerability of the Canadian financial system should, among other factors, account for the ability of Canadian financial institutions to withstand losses from the household sector.2015-12-15T11:00:45+00:00enIndebted Households and Potential Vulnerabilities for the Canadian Financial System: A Microdata Analysis2015-12-15Assessing Financial System Vulnerabilities: An Early Warning Approach
https://www.bankofcanada.ca/wp-content/uploads/2013/11/boc-review-autumn13-pasricha.pdf
This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use to assess vulnerabilities.2013-11-14T08:09:13+00:00enAssessing Financial System Vulnerabilities: An Early Warning Approach2013-11-14An Improved Framework for Assessing the Risks Arising from Elevated Household Debt
https://www.bankofcanada.ca/wp-content/uploads/2012/06/fsr-0612-faruqui.pdf
2012-06-14T09:28:49+00:00enAn Improved Framework for Assessing the Risks Arising from Elevated Household Debt2012-06-14The Impact of Operational Events on the Network Structure of the LVTS
https://www.bankofcanada.ca/2011/08/discussion-paper-2011-7/
The author uses a quantitative network analysis approach to assess how participants in
the Large Value Transfer System (LVTS) respond to partial outages at other banks.2011-08-05T12:50:20+00:00enThe Impact of Operational Events on the Network Structure of the LVTS2011-08-05Payment clearing and settlement systemsDiscussion Paper 2011-7https://www.bankofcanada.ca/wp-content/uploads/2011/08/dp2011-07.pdfThe Impact of Operational Events on the Network Structure of the LVTSTom RobertsAugust 2011CC4C49GG1G14G2G21Payment Networks: A Review of Recent Research
https://www.bankofcanada.ca/wp-content/uploads/2011/02/chapman.pdf
In this article, the authors review work done at the Bank of Canada and at other central banks with the relatively new application of network analysis to the study of payments systems.2011-02-17T10:28:33+00:00enPayment Networks: A Review of Recent Research2011-02-17Network Analysis and Canada's Large Value Transfer System
https://www.bankofcanada.ca/2009/12/discussion-paper-2009-13/
Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency.2009-12-01T11:40:39+00:00enNetwork Analysis and Canada's Large Value Transfer System2009-12-01Financial stabilityPayment clearing and settlement systemsDiscussion Paper 2009-13https://www.bankofcanada.ca/wp-content/uploads/2010/01/dp09-13.pdfNetwork Analysis and Canada’s Large Value Transfer SystemLana EmbreeTom RobertsDecember 2009DD8D85GG1G10