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299
result(s)
Estimating the Appropriate Quantity of Settlement Balances in a Floor System
Staff Discussion Paper 2023-26
Narayan Bulusu,
Matthew McNeely,
Kaetlynd McRae,
Jonathan Witmer
This paper presents two complementary approaches to estimating the appropriate quantity of settlement balances needed to effectively operate monetary policy under a floor system in Canada.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Monetary policy implementation,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E41,
E42,
E5,
E52,
E58,
G,
G2,
G21,
G28
Three things we learned about the Lynx payment system
Staff Analytical Note 2023-14
Nikil Chande,
Zhentong Lu,
Hiru Rodrigo,
Phoebe Tian
Canada transitioned to a new wholesale payment system, Lynx, in August 2021. Lynx is based on a real-time settlement model that eliminates credit risk in the system. This model can require more liquidity; however, Lynx’s design allows Canada’s wholesale payments to settle efficiently.
Content Type(s):
Staff research,
Staff analytical notes
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
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
Do hedge funds support liquidity in the Government of Canada bond market?
Staff Analytical Note 2023-11
Jabir Sandhu,
Rishi Vala
While Government of Canada bond transactions of hedge funds are typically in the opposite direction to those of other market participants, during the peak period of market turmoil in March 2020, hedge funds sold these bonds, just as other market participants did. This shows that hedge funds can at times contribute to one-sided markets and amplify declines in market liquidity.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
D,
D4,
D47,
D5,
D53,
G,
G1,
G12,
G14,
G2,
G23
BoC–BoE Sovereign Default Database: What’s new in 2023?
Staff Analytical Note 2023-10
David Beers,
Obiageri Ndukwe,
Karim McDaniels,
Alex Charron
The BoC–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default. The 2023 edition includes a new section about the characteristics of sovereign defaults and provides new visuals showing regional debt in default.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
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
What we can learn by linking firms’ reported emissions with their financial data
Staff Analytical Note 2023-4
Matthew Ackman,
Timothy Grieder,
Callie Symmers,
Geneviève Vallée
We analyze the financial statements and stock prices of publicly traded firms incorporated in Canada that report greenhouse gas emissions. We find that these firms primarily use equity financing. We also find that equity investors increasingly account for firms’ emissions when making investment decisions but the impact appears small. This suggests that assets exposed to climate change remain at risk of a sudden repricing.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Climate change,
Financial stability,
Firm dynamics
JEL Code(s):
G,
G1,
G3,
Q,
Q5
A Review of the Bank of Canada’s Market Operations Related to COVID-19
Staff Discussion Paper 2023-6
Grahame Johnson
This paper reviews the range of extraordinary programs launched by the Bank of Canada in response to the pandemic-related financial market disruption. It provides some recommendations for future interventions to ensure the programs are appropriately structured for the financial and economic stresses they are intended to address.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Coronavirus disease (COVID-19),
Financial markets,
Financial stability
JEL Code(s):
D,
D4,
D47,
E,
E4,
E41,
E5,
G,
G0,
G01,
G1,
G14,
G2,
G21,
G23,
H,
H1,
H12
We Didn’t Start the Fire: Effects of a Natural Disaster on Consumers’ Financial Distress
Staff Working Paper 2023-15
Anson T. Y. Ho,
Kim Huynh,
David T. Jacho-Chávez,
Geneviève Vallée
We use detailed consumer credit data to investigate the impact of the 2016 Fort McMurray wildfire, the costliest wildfire disaster in Canadian history, on consumers’ financial stress. We focus on the arrears of insured mortgages because of their important implications for financial institutions and insurers’ business risk and relevant management practices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Climate change,
Credit and credit aggregates,
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C2,
C21,
D,
D1,
D12,
G,
G2,
G21,
Q,
Q5,
Q54