Martin Kuncl

Senior Economist

Martin Kuncl is a Senior Economist in the Canadian Economic Analysis Department at the Bank of Canada. His research interests include macro-financial linkages, financial crises and macro-prudential policies. Specific topics include financial innovation, interaction of monetary and macro-prudential policies, and government intervention in the mortgage market. He received his Ph.D. in Economics from CERGE-EI.

Contact

Senior Economist
Canadian Economic Analysis
Monetary Policy and Financial Studies Division

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Latest

Loan Insurance, Market Liquidity, and Lending Standards

Staff Working Paper 2019-47 Toni Ahnert, Martin Kuncl
Third parties often assume default risk at loan origination in return for a fee. Insurance, various guarantees and external credit enhancements protect the owner of the loan against borrower default. Governments often assume such default risk through guarantees for various types of loans, including mortgages, student loans and small business loans.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions, Financial markets, Financial system regulation and policies JEL Code(s): G, G0, G01, G2, G21, G28

Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases

Staff Working Paper 2016-46 Martin Kuncl
Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E5, G, G0, G01, G2

Assessment of the Effects of Macroprudential Tightening in Canada

Staff Analytical Note 2016-12 Martin Kuncl
During the period of 2008 to 2012, the rules for government-backed mortgage insurance were tightened on four occasions. In this note, we estimate the effects through a simple econometric exercise using a vector error-correction model (VECM).
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Credit and credit aggregates, Financial system regulation and policies, Housing JEL Code(s): C, C3, C32, E, E6, E65, G, G2, G28

Securitization under Asymmetric Information over the Business Cycle

Staff Working Paper 2015-9 Martin Kuncl
This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly signal its quality.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E4, E44, G, G0, G01, G2, G20

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Other

Refereed journals

  • “Securitization under Asymmetric Information over the Business Cycle”, European Economic Review, Volume 111, January 2019, Pages 237-256.

Archives

Bank Publications

Education

  • Ph.D. in Economics, CERGE-EI
  • M.A. in Economics, CERGE-EI
  • CEMS Master in International Management
  • M.Sc. in International Trade, University of Economics, Prague

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RePEc

Martin Kuncl

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