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379
result(s)
Central Bank Liquidity Facilities and Market Making
Staff Working Paper 2022-9
David Cimon,
Adrian Walton
We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Coronavirus disease (COVID-19),
Economic models,
Financial institutions,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G10,
G2,
G20,
L,
L1,
L10
The Financial Origins of Non-fundamental Risk
Staff Working Paper 2022-4
Sushant Acharya,
Keshav Dogra,
Sanjay Singh
We explore the idea that the financial sector can be a source of non-fundamental risk to the rest of the economy. We also consider whether policy can be used to reduce this risk—either by increasing the supply of publicly backed safe assets or by reducing the demand for safe assets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Financial stability
JEL Code(s):
D,
D5,
D52,
D8,
D84,
E,
E6,
E62,
G,
G1,
G10,
G12
Systemic Risk and Portfolio Diversification: Evidence from the Futures Market
Staff Working Paper 2021-50
Radoslav Raykov
This paper explores how the Canadian futures market contributed to banks’ systemic risk during the 2008 financial crisis. It finds that core banks as a whole traded against the periphery, in this way increasing their risk of simultaneous losses.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
G,
G1,
G10,
G2,
G20
Foreign Exchange Fixings and Returns Around the Clock
Staff Working Paper 2021-48
Ingomar Krohn,
Philippe Mueller,
Paul Whelan
We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets,
Market structure and pricing
JEL Code(s):
F,
F3,
F31,
G,
G1,
G15
Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios
Staff Analytical Note 2021-20
Sébastien Betermier,
Nicholas Byrne,
Jean-Sébastien Fontaine,
Hayden Ford,
Jason Ho,
Chelsea Mitchell
“Reach for yield”—This is the commonly heard explanation for why pension plans shift their portfolios toward alternative assets. But we show that the new portfolios also hold more bonds, offer lower average returns and produce smaller and less volatile solvency deficits. These shifts are part of a broader strategy to reduce solvency risk.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G11
Bank Runs, Bank Competition and Opacity
Staff Working Paper 2021-30
Toni Ahnert,
David Martinez-Miera
How is the stability of the financial sector affected by competition in the deposit market and by decisions banks make about transparency? We find that policies that aim to increase bank competition lead to higher bank deposit rates, increasing both withdrawal incentives and instability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Financial stability,
Financial system regulation and policies,
Wholesale funding
JEL Code(s):
G,
G0,
G01,
G2,
G21
COVID-19 crisis: Liquidity management at Canada’s largest public pension funds
Staff Analytical Note 2021-11
Guillaume Bédard-Pagé,
Daniel Bolduc-Zuluaga,
Annick Demers,
Jean-Philippe Dion,
Manu Pandey,
Léanne Berger-Soucy,
Adrian Walton
We examine how the eight largest Canadian public pension funds managed liquidity during the market turmoil in March 2020. The funds were generally resilient to large demands for liquidity and relied heavily on Canada's core funding markets.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial institutions,
Financial markets
JEL Code(s):
E,
E5,
E58,
G,
G0,
G01,
G2,
G23
Stablecoin Assessment Framework
Staff Discussion Paper 2021-6
Alejandro García,
Bena Lands,
Dennis Yanchus
We offer relevant authorities a three-step assessment framework they can use to understand, identify and quantify the risks associated with stablecoin and other cryptocurrency arrangements.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Digital currencies and fintech,
Financial institutions,
Financial markets,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
D,
D7,
D78,
D8,
D81,
G,
G0,
G01,
G1,
G18,
O,
O3,
O38
What cured the TSX Equity index after COVID-19?
Staff Analytical Note 2021-3
Guillaume Ouellet Leblanc,
Jean-Sébastien Fontaine,
Ryan Shotlander
The TSX index rose by 9.5 percent in November 2020, adding large gains to an already sharp V-shaped recovery. The economic outlook improved at that time as well. We ask whether the stock market gains since last autumn are due to improving forecasts of firms’ earnings.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Coronavirus disease (COVID-19),
Financial markets
JEL Code(s):
G,
G1,
G12,
G14