Ying Liu

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Staff Discussion Papers

A Note on Contestability in the Canadian Banking Industry

Staff Discussion Paper 2007-7 Jason Allen, Ying Liu
The authors examine the degree of contestability in the Canadian banking system using the H-statistic proposed by Panzar and Rosse (1987) and modified by Bikker, Spierdijk, and Finnie (2006). A modification is necessary because the standard approach of controlling for size using total assets leads to an upward bias in the H-statistic. The authors propose […]
Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Financial Institutions JEL Code(s): G, G2, G21, L, L1, L11

Staff Working Papers

Are Canadian Banks Efficient? A Canada–U.S. Comparison

Staff Working Paper 2006-33 Jason Allen, Walter Engert, Ying Liu
The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions JEL Code(s): C, C3, C33, D, D2, D24, G, G2, G21

Efficiency and Economies of Scale of Large Canadian Banks

Staff Working Paper 2005-13 Jason Allen, Ying Liu
The authors measure the economies of scale of Canada's six largest banks and their costefficiency over time. Using a unique panel data set from 1983 to 2003, they estimate pooled translog cost functions and derive measures of relative efficiency and economies of scale.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions JEL Code(s): C, C3, C33, D, D2, D24, G, G2, G21

Market Valuation and Risk Assessment of Canadian Banks

Staff Working Paper 2004-34 Ying Liu, Mingwei Yuan, Eli Papakirykos
The authors apply the asset-valuation model developed by Rabinovitch (1989) to six publicly traded Canadian banks over the period 1982–2002.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions JEL Code(s): G, G1, G12, G2, G21

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.

An Index of Financial Stress for Canada

Staff Working Paper 2003-14 Mark Illing, Ying Liu
The authors develop an index of financial stress for the Canadian financial system. Stress is defined as the force exerted on economic agents by uncertainty and changing expectations of loss in financial markets and institutions.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions, Financial markets JEL Code(s): E, E5, G, G1, G10

Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model

Staff Working Paper 2001-23 Ying Liu
This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.

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