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92
result(s)
Should Banks Be Worried About Dividend Restrictions?
Staff Working Paper 2023-49
Josef Schroth
A regulator would want to restrict dividends to force banks to rebuild capital during a crisis. But such a policy is not time-consistent. A time-consistent policy would let banks gradually rebuild capital and pay dividends even when their equity remains below pre-crisis levels.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Credit risk management,
Financial stability,
Financial system regulation and policies,
Lender of last resort
JEL Code(s):
E,
E1,
E13,
E3,
E32,
E4,
E44
From LVTS to Lynx: Quantitative Assessment of Payment System Transition
Staff Working Paper 2023-24
Ajit Desai,
Zhentong Lu,
Hiru Rodrigo,
Jacob Sharples,
Phoebe Tian,
Nellie Zhang
We quantitatively assess the changes in participants’ payment behaviour from modernizing Canada's high-value payments system to Lynx. Our analysis suggests that Lynx's liquidity-saving mechanism encourages liquidity pooling and early payments submission, resulting in improved efficiency for participants but with slightly increased payment delays.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
C,
C1,
C10,
E,
E4,
E42,
G,
G2,
G28
Stress Relief? Funding Structures and Resilience to the Covid Shock
Staff Working Paper 2023-7
Kristin Forbes,
Christian Friedrich,
Dennis Reinhardt
Funding structures affected the amount of financial stress different countries and sectors experienced during the spread of COVID-19 in early 2020. Policy responses targeting specific vulnerabilities were more effective at mitigating this stress than those supporting banks or the economy more broadly.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Coronavirus disease (COVID-19),
Exchange rates,
Financial institutions,
Financial stability,
Financial system regulation and policies,
International topics
JEL Code(s):
E,
E4,
E44,
E6,
E65,
F,
F3,
F31,
F36,
F4,
F42,
G,
G1,
G18,
G2,
G23,
G3,
G38
Mandatory Retention Rules and Bank Risk
Staff Working Paper 2023-3
Yuteng Cheng
This paper studies, theoretically and empirically, the unintended consequences of mandatory retention rules in securitization. It proposes a novel model showing that while retention strengthens monitoring, it may also encourage banks to shift risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit risk management,
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
Improving the Efficiency of Payments Systems Using Quantum Computing
Staff Working Paper 2022-53
Christopher McMahon,
Donald McGillivray,
Ajit Desai,
Francisco Rivadeneyra,
Jean-Paul Lam,
Thomas Lo,
Danica Marsden,
Vladimir Skavysh
We develop an algorithm and run it on a hybrid quantum annealing solver to find an ordering of payments that reduces the amount of system liquidity necessary without substantially increasing payment delays.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Financial institutions,
Financial services,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
C,
C6,
C61,
C63,
D,
D8,
D83,
E,
E4,
E42,
E5,
E58
Regulatory Requirements of Banks and Arbitrage in the Post-Crisis Federal Funds Market
Staff Working Paper 2022-48
Rodney J. Garratt,
Sofia Priazhkina
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Economic models,
Financial institutions,
Financial markets,
Financial stability,
Financial system regulation and policies,
Wholesale funding
JEL Code(s):
E,
E4,
E42,
E5,
E58,
G,
G2,
G28
Cyber Risk and Security Investment
Staff Working Paper 2022-32
Toni Ahnert,
Michael Brolley,
David Cimon,
Ryan Riordan
We develop a principal-agent model of cyber-attacking with fee-paying clients who delegate security decisions to financial platforms. We derive testable implications about clients’ vulnerability to cyber attacks and about the fees charged.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial services,
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
D,
D7,
D78,
D8,
D81,
G,
G1,
G18,
G2,
G21,
G23
Unregulated Lending, Mortgage Regulations and Monetary Policy
Staff Working Paper 2022-28
Ugochi Emenogu,
Brian Peterson
This paper evaluates the effectiveness of macroprudential policies when regulations are uneven across mortgage lender types. We look at credit tightening that results from macroprudential regulations and examine how much of it is counteracted by credit shifting to unregulated lenders. We also study the impact of monetary policy tightening when some lenders are unregulated.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E50,
E52,
E58,
G,
G2,
G21,
G23,
G28
Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification
Staff Working Paper 2022-24
Pablo Ottonello,
Wenting Song
We provide empirical evidence of effects to the aggregate economy from surprises about financial intermediaries’ net worth based on a high-frequency identification strategy. We estimate that news of a 1% decline in intermediaries’ net worth leads to a 0.2%–0.4% decrease in the market value of nonfinancial firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Business fluctuations and cycles,
Credit and credit aggregates,
Financial institutions,
Financial markets,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
E51,
G,
G0,
G01,
G1,
G12,
G2,
G21,
G23,
G24,
G3,
G32