Hajime Tomura - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:12:57+00:00On the Existence and Fragility of Repo Markets
https://www.bankofcanada.ca/2012/06/working-paper-2012-17/
This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange repurchase agreements (repos) endogenously.2012-06-21T11:49:36+00:00enOn the Existence and Fragility of Repo Markets2012-06-21Financial marketsFinancial stabilityPayment clearing and settlement systemsWorking Paper 2012-17https://www.bankofcanada.ca/wp-content/uploads/2012/06/wp2012-17.pdfOn the Existence and Fragility of Repo MarketsHajime TomuraJune 2012GG2G24A Note on Central Counterparties in Repo Markets
https://www.bankofcanada.ca/2012/03/discussion-paper-2012-4/
The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market.2012-03-09T09:49:54+00:00enA Note on Central Counterparties in Repo Markets2012-03-09Financial marketsFinancial stabilityPayment clearing and settlement systemsDicussion paper 2012-4https://www.bankofcanada.ca/wp-content/uploads/2012/03/dp2012-04.pdfA Note on Central Counterparties in Repo MarketsHajime TomuraMarch 2012GG2G24Understanding and Measuring Liquidity Risk: A Selection of Recent Research
https://www.bankofcanada.ca/wp-content/uploads/2011/05/gauthier.pdf
During the recent financial crisis, one of the forces set in motion by the initial losses on subprime-mortgage loans was a significant decline in the market liquidity of assets and in the ability of financial institutions to obtain funding in wholesale markets. In this article, the authors summarize recent research that clarifies the role of liquidity in destabilizing the financial system and examine the implications of this research for the recently announced financial system reforms, including Basel III.2011-05-19T07:20:35+00:00enUnderstanding and Measuring Liquidity Risk: A Selection of Recent Research2011-05-19Liquidity Transformation and Bank Capital Requirements
https://www.bankofcanada.ca/2010/08/working-paper-2010-22/
This paper presents a dynamic general equilibrium model where asymmetric information about asset quality leads to asset illiquidity. Banking arises endogenously in this environment as banks can pool illiquid assets to average out their idiosyncratic qualities and issue liquid liabilities backed by pooled assets whose total quality is public information.2010-08-23T14:19:04+00:00enLiquidity Transformation and Bank Capital Requirements2010-08-23Financial stabilityFinancial system regulation and policiesWorking Paper 2010-22https://www.bankofcanada.ca/wp-content/uploads/2010/08/wp10-22.pdfLiquidity Transformation and Bank Capital RequirementsHajime TomuraAugust 2010DD8D82EE4E44GG2G21Optimal Monetary Policy during Endogenous Housing-Market Boom-Bust Cycles
https://www.bankofcanada.ca/2009/11/working-paper-2009-32/
This paper uses a small-open economy model for the Canadian economy to examine the optimal Taylor-type monetary policy rule that stabilizes output and inflation in an environment where endogenous boom-bust cycles in house prices can occur.2009-11-15T14:42:23+00:00enOptimal Monetary Policy during Endogenous Housing-Market Boom-Bust Cycles2009-11-15Credit and credit aggregatesFinancial stabilityInflation targetsWorking Paper 2009-32 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-32.pdfOptimal Monetary Policy during Endogenous Housing-Market Boom-Bust CyclesHajime TomuraNovember 2009EE4E44E5E52Heterogeneous Beliefs and Housing-Market Boom-Bust Cycles in a Small Open Economy
https://www.bankofcanada.ca/2009/05/working-paper-2009-15/
This paper introduces heterogeneous beliefs among households in a small open economy model for the Canadian economy. The model suggests that simultaneous boom-bust cycles in house prices, output, investment, consumption and hours worked emerge when credit-constrained mortgage borrowers expect that future house prices will rise and this expectation is neither shared by savers nor realized ex-post.2009-05-03T12:18:53+00:00enHeterogeneous Beliefs and Housing-Market Boom-Bust Cycles in a Small Open Economy2009-05-03Credit and credit aggregatesFinancial stabilityInflation targetsWorking Paper 2009-15 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-15.pdfHeterogeneous Beliefs and Housing-Market Boom-Bust Cycles in a Small Open EconomyHajime TomuraMay 2009EE4E44E5E52A Model of Housing Boom and Bust in a Small Open Economy
https://www.bankofcanada.ca/wp-content/uploads/2012/01/fsr-1208-tomura.pdf
2008-12-21T11:05:30+00:00enA Model of Housing Boom and Bust in a Small Open Economy2008-12-21A Model of Housing Boom and Bust in a Small Open Economy
https://www.bankofcanada.ca/2008/04/working-paper-2008-9/
This paper considers a dynamic stochastic general equilibrium model for a small open economy and finds that an improvement in the terms of trade causes a housing boom-bust cycle if the duration of the improvement is uncertain.2008-04-03T11:54:59+00:00enA Model of Housing Boom and Bust in a Small Open Economy2008-04-03Business fluctuations and cyclesCredit and credit aggregatesWorking Paper 2008-9 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-9.pdfA Model of Housing Boom and Bust in a Small Open EconomyHajime TomuraApril 2008EE4E44FF4F41Firms Dynamics, Bankruptcy Laws and Total Factor Productivity
https://www.bankofcanada.ca/2007/03/working-paper-2007-17/
This paper analyzes endogenous fluctuations in total factor productivity (TFP) in a dynamic general equilibrium model with heterogeneous agents, and illustrates the interaction of credit market frictions, asset prices, the entry and exit of firms, and fluctuations in TFP in response to firm-level productivity and aggregate credit-market shocks. I also analyze the effect of bankruptcy and foreclosure laws on fluctuations in TFP through their effect on credit market frictions.2007-03-04T16:48:20+00:00enFirms Dynamics, Bankruptcy Laws and Total Factor Productivity2007-03-04Financial stabilityProductivityWorking Paper 2007-17 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-17.pdfFirms Dynamics, Bankruptcy Laws and Total Factor ProductivityHajime TomuraMarch 2007DD2D24EE4E44GG3G33