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296
result(s)
Do Canadian Broker-Dealers Act as Agents or Principals in Bond Trading?
Staff Analytical Note 2017-11
Daniel Hyun,
Jesse Johal,
Corey Garriott
Technology, risk tolerance and regulation may influence dealers to reduce their trading as principals (using their own balance sheets for sales and purchases of securities) in favour of agency trading (matching client trades).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing,
Recent economic and financial developments
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1
How to Predict Financial Stress? An Assessment of Markov Switching Models
Staff Working Paper 2017-32
Benjamin Klaus,
Thibaut Duprey
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Financial markets,
Financial stability,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
C,
C5,
C54,
G,
G0,
G01,
G1,
G15
Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data
Staff Working Paper 2017-30
Jose Fique
In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
C,
C6,
C63,
D,
D8,
D85,
G,
G2,
G21
Information Contagion and Systemic Risk
Staff Working Paper 2017-29
Co-Pierre Georg,
Toni Ahnert
We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G11,
G2,
G21
Constrained Efficiency with Adverse Selection and Directed Search
Staff Working Paper 2017-15
Mohammad Davoodalhosseini
Constrained efficient allocation (CE) is characterized in a model of adverse selection and directed search (Guerrieri, Shimer, and Wright (2010)). CE is defined to be the allocation that maximizes welfare, the ex-ante utility of all agents, subject to the frictions of the environment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D8,
D82,
D83,
E,
E2,
E24,
G,
G1,
J,
J3,
J31,
J6,
J64
Banking Regulation and Market Making
Staff Working Paper 2017-7
David Cimon,
Corey Garriott
We model how securities dealers respond to regulations on leverage, position and liquidity such as those imposed by the Basel III framework. We show that while asset prices exhibit greater price impact, bid-ask spreads do not change and trading volumes may even increase.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1,
L10
Optimal Capital Regulation
Staff Working Paper 2017-6
Stéphane Moyen,
Josef Schroth
We study constrained-efficient bank capital regulation in a model with market-imposed equity requirements. Banks hold equity buffers to insure against sudden loss of access to funding. However, in the model, banks choose to only partially self-insure because equity is privately costly.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
E,
E1,
E13,
E3,
E32,
E4,
E44
Terms-of-Trade and House Price Fluctuations: A Cross-Country Study
Staff Working Paper 2017-1
Paul Corrigan
Terms-of-trade shocks are known to be key drivers of business cycles in open economies. This paper argues that terms-of-trade shocks were also important for house price fluctuations in a panel of developed countries over the 1994–2015 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Housing,
International topics
JEL Code(s):
C,
C3,
C32,
E,
E3,
E32,
E5,
E51,
F,
F3,
F36,
F4,
F41
Non-Bank Investors and Loan Renegotiations
Staff Working Paper 2016-60
Teodora Paligorova,
João Santos
We document that the structure of syndicates affects loan renegotiations. Lead banks with large retained shares have positive effects on renegotiations. In contrast, more diverse syndicates deter renegotiations, but only for credit lines.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G23