G - Financial Economics

• Reassessing the Growth of HELOCs in Canada Using New Regulatory Data

  Staff Analytical Note 2019-14 Leila Al-Mqbali, Olga Bilyk, Stefan Caputo, James Younker

  Using new regulatory data on residential secured lending from Canadian banks, we assess the growth rate of home equity lines of credit (HELOCs).

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Credit and credit aggregates, Financial institutions, Financial stability, Recent economic and financial developments JEL Code(s): D, D1, G, G2, G21, G28

• Entrepreneurial Incentives and the Role of Initial Coin Offerings

  Staff Working Paper 2019-18 Rodney J. Garratt, Maarten van Oordt

  Initial coin offerings (ICOs) are a new mode of financing start-ups that saw an explosion in popularity in 2017 but declined in popularity in the second half of 2018 as regulatory pressure, instances of fraud and reports of poor performance began to undermine their reputation.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Exchange rates JEL Code(s): G, G3, G32

• Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects

  Staff Working Paper 2019-16 Kerem Tuzcuoglu

  Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Credit risk management, Econometric and statistical methods, Economic models JEL Code(s): C, C2, C23, C25, C5, C58, G, G2, G24

• Financial Distress and Hedging: Evidence from Canadian Oil Firms

  Staff Discussion Paper 2019-4 Kun Mo, Farrukh Suvankulov, Sophie Griffiths

  The paper explores the link between financial distress and the commodity price hedging behaviour of Canadian oil firms.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Firm dynamics JEL Code(s): G, G3, G32, Q, Q4, Q40

• Could Canadian Bond Funds Add Stress to the Financial System?

  Staff Analytical Note 2019-9 Rohan Arora, Guillaume Bédard-Pagé, Guillaume Ouellet Leblanc, Ryan Shotlander

  We create a hypothetical scenario to study the role bond funds play in intensifying shocks to the financial system. Using data from 2018 and 2007, we find that bond funds play a larger role now than they did in the past.

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23

• Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach

  Technical Report No. 115 Rohan Arora, Guillaume Bédard-Pagé, Guillaume Ouellet Leblanc, Ryan Shotlander

  This report provides a detailed technical description of a stress test model for investment funds called Ceto.

  Content Type(s): Staff research, Technical reports Research Topic(s): Economic models, Financial institutions, Financial markets, Financial stability JEL Code(s): G, G1, G12, G14, G2, G20, G23

• Firm-level Investment Under Imperfect Capital Markets in Ukraine

  Staff Working Paper 2019-14 Oleksandr Shcherbakov

  This paper develops and estimates a model of firm-level fixed capital investment when firms face borrowing constraints.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models, Firm dynamics JEL Code(s): C, C6, C61, C63, D, D2, D24, G, G3, G31

• Non-Bank Financial Intermediation in Canada: An Update

  Staff Discussion Paper 2019-2 Guillaume Bédard-Pagé

  Non-bank financing provides an important funding source for the economy and is a valuable alternative to traditional banking. It helps enhance the efficiency and resiliency of the financial system while giving customers more choices for their financial services. Unlike banking, it is not prudentially regulated.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial markets, Financial stability JEL Code(s): G, G0, G01, G2, G20, G23

• Do Survey Expectations of Stock Returns Reflect Risk Adjustments?

  Staff Working Paper 2019-11 Klaus Adam, Dmitry Matveev, Stefan Nagel

  Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the literature on asset pricing are consistent with the survey evidence.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Economic models, Financial markets JEL Code(s): G, G1, G10, G12

• Liquidity Management of Canadian Corporate Bond Mutual Funds: A Machine Learning Approach

  Staff Analytical Note 2019-7 Rohan Arora, Chen Fan, Guillaume Ouellet Leblanc

  When redeeming shares for investors, bond fund managers must choose a mix of cash and bond sales to honour their commitments. This note uses machine learning algorithms to uncover new patterns in decisions fund managers make to meet redemptions.

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23