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296
result(s)
Rollover Risk and the Maturity Transformation Function of Banks
Staff Working Paper 2014-8
Teodora Paligorova,
João Santos
This paper shows that banks that rely heavily on short-term funding engage less in maturity transformation in an attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well as the maturity of newly issued loans. We find that the loan yield curve becomes steeper with banks’ increasing use of short-term funding.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
G,
G2,
G21
A Policy Model to Analyze Macroprudential Regulations and Monetary Policy
Staff Working Paper 2014-6
Sami Alpanda,
Gino Cateau,
Césaire Meh
We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial system regulation and policies
JEL Code(s):
E,
E1,
E17,
E3,
E32,
E4,
E44,
F,
F4,
F41
CoMargin
Staff Working Paper 2013-47
Jorge Cruz Lopez,
Jeffrey H. Harris,
Christophe Hurlin,
Christophe Pérignon
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G13
Lessons from the Financial Crisis: Bank Performance and Regulatory Reform
Staff Discussion Paper 2013-4
Neville Arjani,
Graydon Paulin
The financial systems of some countries fared materially better than others during the global financial crisis of 2007-09.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
Central Bank Communications Before, During and After the Crisis: From Open-Market Operations to Open-Mouth Policy
Staff Working Paper 2013-41
Ianthi Vayid
The days when secrecy and opacity were the bywords of central banking are gone. The advent of inflation targeting in the early 1990s acted as the catalyst for enhanced transparency and communications in the conduct of monetary policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Credibility,
Financial stability,
Inflation targets,
Monetary policy framework,
Monetary policy implementation
JEL Code(s):
E,
E5,
E52,
E58
The Safety of Government Debt
Staff Working Paper 2013-34
Kartik Anand,
Prasanna Gai
We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of government bonds is driven by strategic complementarities across counterparties and the structure of trading relationships.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial stability,
International financial markets
JEL Code(s):
D,
D8,
D81,
E,
E4,
E44,
F,
F0,
F02,
F4,
F41,
G,
G1,
G15
The ‘Celtic Crisis’: Guarantees, Transparency and Systemic Liquidity Risk
Staff Working Paper 2013-31
Philipp König,
Kartik Anand,
Frank Heinemann
Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of some European countries, most notably Ireland, have demonstrated, the credibility and effectiveness of these guarantees are crucially intertwined with the sovereign’s funding risks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D89,
G,
G0,
G01,
G2,
G28
Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns
Staff Working Paper 2013-21
Joshua Aizenman,
Gurnain Pasricha
In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in recent decades. Liberalization of capital outflow controls can allow emerging-market economies (EMEs) to reduce net capital inflow (NKI) pressures, but may cost their governments the fiscal revenues that external financial repression generates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial system regulation and policies,
International topics,
Recent economic and financial developments
JEL Code(s):
F,
F3,
F32,
G,
G1,
G15
A Semiparametric Early Warning Model of Financial Stress Events
Staff Working Paper 2013-13
Ian Christensen,
Fuchun Li
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C1,
C12,
C14,
G,
G0,
G01,
G1,
G17