Céline Gauthier

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Staff Discussion Papers

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 Topic(s): Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21

Staff Working Papers

Emergency Liquidity Facilities, Signalling and Funding Costs

In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve’s discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities.

Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach

Staff Working Paper 2015-32 Kartik Anand, Céline Gauthier, Moez Souissi
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.

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.

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 Topic(s): Financial stability JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G2, G21

Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model

Staff Working Paper 2006-42 Céline Gauthier, Fuchun Li
The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4

Financial Conditions Indexes for Canada

Staff Working Paper 2004-22 Céline Gauthier, Christopher Graham, Ying Liu
The authors construct three financial conditions indexes (FCIs) for Canada based on three approaches: an IS-curve-based model, generalized impulse-response functions, and factor analysis.

A Small Dynamic Hybrid Model for the Euro Area

Staff Working Paper 2003-19 Ramdane Djoudad, Céline Gauthier
The authors estimate and solve a small structural model for the euro area over the 1983–2000 period. Given the assumption of rational expectations, the model implies a set of orthogonality conditions that provide the basis for estimating the model's parameter by generalized method of moments.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Transmission of monetary policy JEL Code(s): E, E3, E31

Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence

Staff Working Paper 2002-31 Céline Gauthier, David Tessier
In this paper, we study the impact of supply shocks on the Canadian real exchange rate. We specify a structural vector-error-correction model that links the real exchange rate to different fundamentals.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Exchange rates JEL Code(s): C, C3, C32, F, F3, F31