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296
result(s)
An Assessment of the Bank of Canada's Term PRA Facility
Staff Working Paper 2010-20
Emanuella Enenajor,
Alex Sebastian,
Jonathan Witmer
This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
E,
E5,
E58,
G,
G1,
G12,
G18
Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data
Staff Working Paper 2010-13
James Chapman,
Nellie Zhang
In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C1,
C11,
D,
D8,
D85,
G,
G2,
G20
Financial Stress, Monetary Policy, and Economic Activity
Staff Working Paper 2010-12
Fuchun Li,
Pierre St-Amant
This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Monetary policy and uncertainty
JEL Code(s):
C,
C0,
C01,
E,
E5,
E50,
G,
G0,
G01
Macroprudential Regulation and Systemic Capital Requirements
Staff Working Paper 2010-4
Céline Gauthier,
Alfred Lehar,
Moez Souissi
In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
C,
C1,
C15,
C8,
C81,
E,
E4,
E44,
G,
G2,
G21
Regulatory Constraints on Bank Leverage: Issues and Lessons from the Canadian Experience
Staff Discussion Paper 2009-15
Étienne Bordeleau,
Allan Crawford,
Christopher Graham
The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements to the riskiness of its assets. Nevertheless, the risk estimates underlying these calculations may be imperfect, and it appears that a cyclical bias in measures of risk-adjusted capital contributed to procyclical increases in global leverage prior to the recent financial crisis.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28
Network Analysis and Canada's Large Value Transfer System
Staff Discussion Paper 2009-13
Lana Embree,
Tom Roberts
Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
D,
D8,
D85,
G,
G1,
G10
Optimal Monetary Policy during Endogenous Housing-Market Boom-Bust Cycles
Staff Working Paper 2009-32
Hajime Tomura
This paper uses a small-open economy model for the Canadian economy to examine the optimal Taylor-type monetary policy rule that stabilizes output and inflation in an environment where endogenous boom-bust cycles in house prices can occur.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Inflation targets
JEL Code(s):
E,
E4,
E44,
E5,
E52
Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks
Staff Discussion Paper 2009-12
Alejandro García,
Andrei Prokopiw
Understanding the nature of credit risk has important implications for financial stability. Since authorities – notably, central banks – focus on risks that have systemic implications, it is crucial to develop ways to measure these risks.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Credit and credit aggregates,
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G10,
G12,
G13
Bond Liquidity Premia
Staff Working Paper 2009-28
Jean-Sébastien Fontaine,
René Garcia
Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
E,
E4,
E43,
H,
H1,
H12