191
result(s)
Flight from Safety: How a Change to the Deposit Insurance Limit Affects Households’ Portfolio Allocation
Staff Working Paper 2019-29
H. Evren Damar,
Reint Gropp,
Adi Mordel
Deposit insurance protects depositors from failing banks, thus making insured deposits risk-free. When a deposit insurance limit is increased, some deposits that previously were uninsured become insured, thereby increasing the share of risk-free assets in households’ portfolios. This increase cannot simply be undone by households, because to invest in uninsured deposits, a household must first invest in insured deposits up to the limit. This basic insight is the starting point of the analysis in this paper.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Financial Institutions,
Financial system regulation and policies
JEL Code(s):
D,
D1,
D14,
G,
G2,
G21,
G28,
L,
L5,
L51
The Formation of House Price Expectations in Canada: Evidence from a Randomized Information Experiment
Staff Analytical Note 2019-24
Marc-André Gosselin,
Mikael Khan,
Matthieu Verstraete
We conduct a randomized information experiment leveraging the Canadian Survey of Consumer Expectations. We provide causal evidence that respondents revise both their short and medium term expectations of future house price growth in a way that is consistent with observed short-term momentum in house prices. However, empirically, house price growth tends to revert to its mean in the medium term.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Financial stability,
Housing
JEL Code(s):
C,
C9,
D,
D8,
D84,
R,
R2,
R21
Tail Index Estimation: Quantile-Driven Threshold Selection
Staff Working Paper 2019-28
Jon Danielsson,
Lerby Ergun,
Laurens de Haan,
Casper G. de Vries
The most extreme events, such as economic crises, are rare but often have a great impact. It is difficult to precisely determine the likelihood of such events because the sample is small.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C0,
C01,
C1,
C14,
C5,
C58
Lending Standards, Productivity and Credit Crunches
Staff Working Paper 2019-25
Jonathan Swarbrick
We propose a macroeconomic model in which adverse selection in investment drives the amplification of macroeconomic fluctuations, in line with prominent roles played by the credit crunch and collapse of the asset-backed security market in the financial crisis.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial markets,
Financial stability,
Interest rates,
Productivity
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44,
G,
G0,
G01
Canadian Securities Lending Market Ecology
Staff Discussion Paper 2019-5
Jesse Johal,
Joanna Roberts,
John Sim
This is the fourth of the Financial Markets Department’s descriptions of Canadian financial industrial organization. The paper discusses the organization of the securities lending market in Canada. We outline key characteristics of securities lending contracts, participants in the securities lending market, the market infrastructures that support securities lending activities, and aggregated statistics describing the Canadian market.
Content Type(s):
Staff Research,
Staff Discussion Papers
Topic(s):
Financial Institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G18,
G2,
G21,
G23
Assessing the Resilience of the Canadian Banking System
Staff Analytical Note 2019-16
Charles Gaa,
Xuezhi Liu,
Cameron MacDonald,
Xiangjin Shen
The stability of the Canadian financial system, as well as its ability to support the Canadian economy, depends on the ability of financial institutions to absorb and manage major shocks. This is especially true for large banks, which perform services essential to the Canadian economy.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Financial Institutions,
Financial stability
JEL Code(s):
C,
C6,
C63,
E,
E2,
E27,
E3,
E37,
E4,
E44,
G,
G0,
G01,
G2,
G21
Measuring Non-Financial Corporate Sector Vulnerabilities in Canada
Staff Analytical Note 2019-15
Timothy Grieder,
Claire Schaffter
In this note, we use firm-level data from Statistics Canada’s Quarterly Survey of Financial Statements to construct two sets of aggregate vulnerability indicators for the non-financial corporate sector in Canada.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial stability,
Monetary and financial indicators,
Recent economic and financial developments,
Sectoral balance sheet
JEL Code(s):
G,
G0,
G01,
G3,
G32
Reassessing the Growth of HELOCs in Canada Using New Regulatory Data
Staff Analytical Note 2019-14
Leila Al-Mqbali,
Olga Bilyk,
Stefan Caputo,
James Younker
Using new regulatory data on residential secured lending from Canadian banks, we assess the growth rate of home equity lines of credit (HELOCs).
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Credit and credit aggregates,
Financial Institutions,
Financial stability,
Recent economic and financial developments
JEL Code(s):
D,
D1,
G,
G2,
G21,
G28
Disentangling the Factors Driving Housing Resales
Staff Analytical Note 2019-12
Mikael Khan,
Taylor Webley
We use a recently developed model and loan-level micro data to decompose movements in housing resales since 2015. We find that fundamental factors, namely housing affordability and full-time employment, have had offsetting effects on resales over our study period.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Econometric and statistical methods,
Financial stability,
Financial system regulation and policies,
Housing,
Recent economic and financial developments
JEL Code(s):
C,
C2,
C22,
E,
E2,
R,
R2,
R21
Could Canadian Bond Funds Add Stress to the Financial System?
Staff Analytical Note 2019-9
Rohan Arora,
Guillaume Bédard-Pagé,
Guillaume Ouellet Leblanc,
Ryan Shotlander
We create a hypothetical scenario to study the role bond funds play in intensifying shocks to the financial system. Using data from 2018 and 2007, we find that bond funds play a larger role now than they did in the past.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23