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294 result(s)

The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies

This paper analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open economies such as Canada. The paper starts by summarizing recent work on financial cycles and their growing correlation across borders.

Credit Risk and Collateral Demand in a Retail Payment System

Staff Discussion Paper 2016-16 Héctor Pérez Saiz, Gabriel Xerri
The recent financial crisis has led to the development of new regulations to control risk in designated payment systems, and the implementation of new credit risk management standards is one of the key issues. In this paper, we study various credit risk management schemes for the Canadian retail payment system (ACSS) that are designed to cover the exposure of a defaulting member.

Time-Varying Crash Risk: The Role of Stock Market Liquidity

We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.

International Banking and Cross-Border Effects of Regulation: Lessons from Canada

Staff Working Paper 2016-34 H. Evren Damar, Adi Mordel
We study how changes in prudential requirements affect cross-border lending of Canadian banks by utilizing an index that aggregates adjustments in key regulatory instruments across jurisdictions.

The Role of Central Banks in Promoting Financial Stability: An International Perspective

Staff Discussion Paper 2016-15 Rose Cunningham, Christian Friedrich
The 2007–09 global financial crisis has led policy-makers around the world, including central banks, to refocus their efforts to promote financial stability. As part of this process, central banks became quite active in supporting financial stability in a variety of ways, such as publicly sharing their assessments of financial system vulnerabilities and risks and helping to strengthen regulation, supervision and macroprudential measures.

Housing Market Dynamics and Macroprudential Policy

Staff Working Paper 2016-31 Gabriel Bruneau, Ian Christensen, Césaire Meh
We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.

Financial Inclusion—What’s it Worth?

Staff Working Paper 2016-30 Miguel Ampudia, Michael Ehrmann
The paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from The Eurosystem Household Finance and Consumption Survey and the U.S. Survey of Consumer Finances, it first documents that there are, respectively, 3.6 per cent and 7.5 per cent of unbanked households in the two economies.

Financial Crisis Interventions

Staff Working Paper 2016-29 Josef Schroth
This paper develops a model of an economy where bank credit supports both productive investment and individual consumption smoothing in the face of idiosyncratic income risk. Bank credit is constrained by bank equity capital.

Clearing and Settlement Systems from Around the World: A Qualitative Analysis

Staff Discussion Paper 2016-14 Michael Tompkins, Ariel Olivares
As Canada continues to engage in a dialogue to develop the approach to modernizing its core payment systems, we analyze the core payment systems that exist in countries around the world. We study payment systems in 27 jurisdictions, encompassing a broad range of geographic regions, through three levels of analysis.

Implementing Market-Based Indicators to Monitor Vulnerabilities of Financial Institutions

Staff Analytical Note 2016-5 Cameron MacDonald, Maarten van Oordt, Robin Scott
This note introduces several market-based indicators and examines how they can further inform the Bank of Canada’s vulnerability assessment of Canadian financial institutions. Market-based indicators of leverage suggest that the solvency risk for major Canadian banks has increased since the beginning of the oil-price correction in the second half of 2014.
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