Sofia Priazhkina - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-19T06:41:27+00:00Market structure of cryptoasset exchanges: Introduction, challenges and emerging trends
https://www.bankofcanada.ca/2024/01/staff-analytical-note-2024-2/
This paper provides an overview of cryptoasset exchanges. We contrast their design with exchanges in traditional financial markets and discuss emerging regulatory trends and innovations aimed at solving the problems cryptoasset exchanges face.2024-01-30T13:56:10+00:00enMarket structure of cryptoasset exchanges: Introduction, challenges and emerging trends2024-01-30Regulatory Requirements of Banks and Arbitrage in the Post-Crisis Federal Funds Market
https://www.bankofcanada.ca/2022/11/staff-working-paper-2022-48/
This paper explains the nature of interest rates in the U.S. federal funds market after the 2007-09 financial crisis. We build a model of the over-the-counter lending market that incorporates new aspects of the financial system: abundance of liquidity, different regulatory standards for banks, and arbitrage opportunities created by limited access to the facility granting interest on excess reserves.2022-11-28T14:49:49+00:00enRegulatory Requirements of Banks and Arbitrage in the Post-Crisis Federal Funds Market2022-11-28Central bank researchEconomic modelsFinancial institutionsFinancial marketsFinancial stabilityFinancial system regulation and policiesWholesale fundingStaff Working Paper 2022-48https://www.bankofcanada.ca/wp-content/uploads/2022/11/swp2022-48.pdfStaff Working Paper 2022-48Rodney J. GarrattSofia PriazhkinaNovember 2022EE4E42E5E58GG2G28Quantum Monte Carlo for Economics: Stress Testing and Macroeconomic Deep Learning
https://www.bankofcanada.ca/2022/06/staff-working-paper-2022-29/
Using the quantum Monte Carlo algorithm, we study whether quantum computing can improve the run time of economic applications and challenges in doing so. We apply the algorithm to two models: a stress testing bank model and a DSGE model solved with deep learning. We also present innovations in the algorithm and benchmark it to classical Monte Carlo.2022-06-28T15:47:31+00:00enQuantum Monte Carlo for Economics: Stress Testing and Macroeconomic Deep Learning2022-06-28Business fluctuations and cyclesCentral bank researchEconometric and statistical methodsEconomic modelsFinancial stabilityStaff Working Paper 2022-29https://www.bankofcanada.ca/wp-content/uploads/2022/06/swp2022-29.pdfStaff Working Paper 2022-29Vladimir SkavyshSofia PriazhkinaDiego GualaThomas BromleyJune 2022CC1C15C6C61C63C68C7EE1E13GG1G17G2G21Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions
https://www.bankofcanada.ca/2021/07/staff-working-paper-2021-35/
Our stress-testing tool considers banks under stress that can strategically manage their balance sheets. Using confidential Canadian supervisory data, we assess whether bank behaviour to maximize shareholder value can amplify a hypothetical stress scenario.2021-07-20T09:01:22+00:00enStressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions2021-07-20Central bank researchEconomic modelsFinancial institutionsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2021-35https://www.bankofcanada.ca/wp-content/uploads/2021/07/swp2021-35.pdfStaff Working Paper 2021-35Grzegorz HalajSofia PriazhkinaJuly 2021CC6C63C7C72GG2G21Modelling the Macrofinancial Effects of a House Price Correction in Canada
https://www.bankofcanada.ca/2018/11/staff-analytical-note-2018-36/
We use a suite of risk-assessment models to examine the possible impact of a hypothetical house price correction, centred in the Toronto and Vancouver areas. We also assume financial stress significantly amplifies the macroeconomic impact of the house price decline.2018-11-14T09:00:37+00:00enModelling the Macrofinancial Effects of a House Price Correction in Canada2018-11-14Financial System Resilience and House Price Corrections
https://www.bankofcanada.ca/2018/11/financial-system-resilience-and-house-price-corrections/
We use models to better understand and assess how risks could affect the financial system. In our hypothetical scenario, a house price correction and elevated financial stress weigh on the economy. An increased number of households and businesses have difficulty repaying loans. Nonetheless, the large banks remain resilient.2018-11-14T08:00:49+00:00enFinancial System Resilience and House Price Corrections2018-11-14Information Sharing and Bargaining in Buyer-Seller Networks
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-63/
This paper presents a model of strategic buyer-seller networks with information exchange between sellers. Prior to engaging in bargaining with buyers, sellers can share access to buyers for a negotiated transfer. We study how this information exchange affects overall market prices, volumes and welfare, given different initial market conditions and information sharing rules.2016-12-30T10:04:33+00:00enInformation Sharing and Bargaining in Buyer-Seller Networks2016-12-30Economic modelsFirm dynamicsMarket structure and pricingStaff Working Paper 2016-63https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-63.pdfInformation Sharing and Bargaining in Buyer-Seller NetworksSofia PriazhkinaFrank H. PageDecember 2016CC7C71C78DD2D21D4D43D8D85LL1L13