E44 - Financial Markets and the Macroeconomy

• Do Low Interest Rates Sow the Seeds of Financial Crises?

  Staff Working Paper 2011-31 Simona Cociuba, Malik Shukayev, Alexander Ueberfeldt

  A view advanced in the aftermath of the late-2000s financial crisis is that lower than optimal interest rates lead to excessive risk taking by financial intermediaries.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial system regulation and policies, Monetary policy transmission JEL Code(s): D, D5, D53, E, E4, E44, E5, E52, G, G2, G28

• Financial Frictions, Financial Shocks and Labour Market Fluctuations in Canada

  Staff Discussion Paper 2011-10 Yahong Zhang

  What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) – a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions – with Canadian data for the period 1984Q2–2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Financial markets, Labour markets JEL Code(s): E, E3, E32, E4, E44, J, J6

• What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?

  Staff Discussion Paper 2011-9 Céline Gauthier, Toni Gravelle, Xuezhi Liu, Moez Souissi

  One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21

• Financial Factors and Labour Market Fluctuations

  Staff Working Paper 2011-12 Yahong Zhang

  What are the effects of financial market imperfections on unemployment and vacancies? Since standard DSGE models do not typically model unemployment, they abstract from this issue.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets, Labour markets JEL Code(s): E, E3, E32, E4, E44, J, J6

• The Macroeconomic Implications of Changes in Bank Capital and Liquidity Requirements in Canada: Insights from the BoC-GEM-FIN

  Staff Discussion Paper 2010-16 Carlos De Resende, Ali Dib, Nikita Perevalov

  The authors use simulations within the BoC-GEM-FIN, the Bank of Canada's version of the Global Economy Model with financial frictions in both the demand and supply sides of the credit market, to investigate the macroeconomic implications of changing bank regulations on the Canadian economy.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Financial institutions, Financial stability, International topics JEL Code(s): E, E3, E32, E4, E44, E5, G, G1, G2

• Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings

  Staff Working Paper 2010-29 Céline Gauthier, Zhongfang He, Moez Souissi

  We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21

• Capital Requirement and Financial Frictions in Banking: Macroeconomic Implications

  Staff Working Paper 2010-26 Ali Dib

  The author develops a dynamic stochastic general-equilibrium model with an active banking sector, a financial accelerator, and financial frictions in the interbank and bank capital markets.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Financial markets, Financial stability JEL Code(s): E, E3, E32, E4, E44, G, G1

• Banks, Credit Market Frictions, and Business Cycles

  Staff Working Paper 2010-24 Ali Dib

  The author proposes a micro-founded framework that incorporates an active banking sector into a dynamic stochastic general-equilibrium model with a financial accelerator.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial stability JEL Code(s): E, E3, E32, E4, E44, G, G1

• Liquidity Transformation and Bank Capital Requirements

  Staff Working Paper 2010-22 Hajime Tomura

  This paper presents a dynamic general equilibrium model where asymmetric information about asset quality leads to asset illiquidity. Banking arises endogenously in this environment as banks can pool illiquid assets to average out their idiosyncratic qualities and issue liquid liabilities backed by pooled assets whose total quality is public information.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): D, D8, D82, E, E4, E44, G, G2, G21

• Macroprudential Regulation and Systemic Capital Requirements

  Staff Working Paper 2010-4 Céline Gauthier, Alfred Lehar, Moez Souissi

  In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G2, G21