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296
result(s)
Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne
Staff Discussion Paper 2013-2
Ramdane Djoudad,
Étienne Bordeleau
Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial stability
JEL Code(s):
C,
C1,
C13,
C18,
G,
G2,
G21,
G3,
G33
Financial Development and the Volatility of Income
Staff Working Paper 2013-4
Tiago Pinheiro,
Francisco Rivadeneyra,
Marc Teignier
This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuations in a cross-section of economies with different sizes of their financial sector.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability
JEL Code(s):
E,
E3,
E32,
E6,
E60
Real-financial Linkages through Loan Default and Bank Capital
Staff Working Paper 2013-3
Tamon Takamura
Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loans and bank capital. Using a model featuring endogenous interactions between firm default and bank capital, this paper revisits the propagation mechanisms of real and financial shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies,
Interest rates
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E6,
E69
Financial Crisis Resolution
Staff Working Paper 2012-42
Josef Schroth
This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the economy experiences a financial crisis. A pecuniary externality entails that banks’ desire to accumulate capital over time aggravates the scarcity of informed capital during the financial crisis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies
JEL Code(s):
D,
D5,
D53,
E,
E6,
E60,
G,
G0,
G01,
G1,
G10,
G18
When Lower Risk Increases Profit: Competition and Control of a Central Counterparty
Staff Working Paper 2012-35
Jean-Sébastien Fontaine,
Héctor Pérez Saiz,
Joshua Slive
We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G10,
G18
Canadian Bank Balance-Sheet Management: Breakdown by Types of Canadian Financial Institutions
Staff Discussion Paper 2012-7
David Xiao Chen,
H. Evren Damar,
Hani Soubra,
Yaz Terajima
The authors document leverage, capital and liquidity ratios of banks in Canada. These ratios are important indicators of different types of risk with respect to a bank’s balance‐sheet management. Particular attention is given to the observations by different types of banks, including small banks that historically received less attention.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices
Staff Working Paper 2012-25
Jonathan Witmer
Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
F,
F3,
F30,
G,
G0,
G01,
G1,
G18,
G2,
G20
The Ex-Ante Versus Ex-Post Effect of Public Guarantees
Staff Working Paper 2012-22
H. Evren Damar,
Reint Gropp,
Adi Mordel
In October 2006, Dominion Bond Rating Service (DBRS) introduced new ratings for banks that account for the potential of government support. The rating changes are not a reflection of any changes in the respective banks’ credit fundamentals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28,
G3,
G32
On the Existence and Fragility of Repo Markets
Staff Working Paper 2012-17
Hajime Tomura
This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange repurchase agreements (repos) endogenously.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G24