May 17, 2012
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1012
result(s)
May 17, 2012
Understanding Systemic Risk in the Banking Sector: A MacroFinancial Risk Assessment Framework
The MacroFinancial Risk Assessment Framework (MFRAF) models the interconnections between liquidity and solvency in a financial system, with multiple institutions linked through an interbank network. The MFRAF integrates funding liquidity risk as an endogenous outcome of the interactions between solvency risk and the liquidity profiles of banks, which is a complementary approach to the new […]
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
E,
E4,
E44,
G,
G0,
G01,
G2,
G21
May 17, 2012
Conference Summary: New Developments in Payments and Settlement
The Bank of Canada’s annual conference, held in November 2011, brought together leading researchers from universities, central banks and other institutions from around the world. Divided into four sessions plus two keynote addresses, the conference covered such topics as the use of cash and other means of payment in retail transactions, large-value payments systems, and […]
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Bank notes,
Central bank research,
Financial system regulation and policies,
Monetary policy implementation,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
G,
G2,
G28,
L,
L8,
L81
The Impact of Retail Payment Innovations on Cash Usage
Staff Working Paper 2012-14
Ben Fung,
Kim Huynh,
Leonard Sabetti
Many predict that innovations in retail payment may render cash obsolete. We investigate this possibility in the context of recent payment innovations such as contactless-credit and stored-value cards.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
C,
C3,
C35,
C8,
C83,
E,
E4,
E41
Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
Staff Working Paper 2012-11
Bruno Feunou,
Jean-Sébastien Fontaine,
Abderrahim Taamouti,
Roméo Tedongap
Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial services
JEL Code(s):
G,
G1,
G12,
G13
A Note on Central Counterparties in Repo Markets
Staff Discussion Paper 2012-4
Hajime Tomura
The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G24
When Is It Less Costly for Risky Firms to Borrow? Evidence from the Bank Risk- Taking Channel of Monetary Policy
Staff Working Paper 2012-10
Teodora Paligorova,
João Santos
In an investigation of banks’ loan pricing policies in the United States over the past two decades, this study finds supporting evidence for the bank risk-taking channel of monetary policy. We show that banks charge lower spreads when they lend to riskier borrowers relative to the spreads they charge on loans to safer borrowers in periods of low short-term rates compared to periods of high short-term rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Monetary policy framework
JEL Code(s):
G,
G2,
G21
Central Bank Communication or the Media’s Interpretation: What Moves Markets?
Staff Working Paper 2012-9
Scott Hendry
The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
E,
E5,
E58,
G,
G1,
G14
A Framework to Assess Vulnerabilities Arising from Household Indebtedness Using Microdata
Staff Discussion Paper 2012-3
Ramdane Djoudad
Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To assess these risks, the author presents a formal stress-testing framework that uses microdata to simulate how various economic shocks affect the distribution of the debt-service ratio (DSR) for the household sector.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C1,
C15,
C3,
C31,
D,
D1,
D14,
E,
E5,
E51
Macroprudential Rules and Monetary Policy when Financial Frictions Matter
Staff Working Paper 2012-6
Jeannine Bailliu,
Césaire Meh,
Yahong Zhang
This paper examines the interaction between monetary policy and macroprudential policy and whether policy makers should respond to financial imbalances. To address this issue, we build a dynamic general equilibrium model that features financial market frictions and financial shocks as well as standard macroeconomic shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial stability,
Monetary policy framework
JEL Code(s):
E,
E4,
E42,
E5,
E50,
E6,
E60