Adi Mordel is a Principal Economist in the Financial Stability Department at the Bank of Canada. His current research centers on the link between financial distress and the real economy, with a particular interest on household lending and consumption. Other research focuses on the effects of public guarantees and incentive alignment in shadow banking activities. Adi Mordel received his PhD in Finance from Drexel University.
Prudential liquidity requirements are a relatively recent regulatory tool on the international front, introduced as part of the Basel III accord in the form of a liquidity coverage ratio (LCR) and a net stable funding ratio (NSFR). I first discuss the rationale for regulating bank liquidity by highlighting the market failures that it addresses while reviewing key theoretical contributions to the literature on the motivation for prudential liquidity regulation.
Following changes to housing finance policies that target insured mortgages, uninsured mortgage credit has been growing. This robust growth creates a larger pool of mortgages that may be suitable for private-label residential mortgage-backed securities (RMBS).
Residential mortgage securitization plays an important role in the Canadian system of housing finance, especially given the rising share of government-supported (i.e., public) securitization over the past 15 years. Mordel and Stephens analyze the evolution of two types of mortgage securitization in Canada— private and public — focusing in particular on the underlying public policy and economic benefits of the latter. They review the potential implications of the extent of public securitization and conclude with a discussion of policies that could be considered to reinvigorate private securitization in Canada.
The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures.
"The Role of Central Banks in Financial Stability: How Has It Changed?," (with Evren Damar and Reint Gropp). MIT Press. (forthcoming).
"The Information Content of Asset-Backed Securities Downgrades and the Motivation behind Them," (with Eric Higgins and Joseph Mason), Working Paper July 2010.
"Asset Sales, Recourse, and Investor Reactions to Initial Securitizations: Evidence why Off-balance Sheet Accounting Treatment does not Remove On-balance Sheet Financial Risk," (with Eric Higgins and Joseph Mason), Working Paper May 2009.
"Governance and Firm Value: Evidence From Initial Securitizations by Bank Holding Companies", Working Paper 2009.
“The Ex-Ante Versus Ex-Post Effect of Public Guarantees.” (with R. Gropp and A. Damar), The Role of Central Banks in Financial Stability: How Has It Changed? MIT Press. (forthcoming)