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1010
result(s)
Financial Spillovers Across Countries: The Case of Canada and the United States
Staff Discussion Paper 2011-1
Kimberly Beaton,
Brigitte Desroches
The authors investigate financial spillovers across countries with an emphasis on the effect of shocks to financial conditions in the United States on financial conditions and economic activity in Canada. These questions are addressed within a global vector autoregression model.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Financial stability,
International topics
JEL Code(s):
E,
E2,
E27,
E3,
E32,
F,
F3,
F36,
F4,
F40
Building New Plants or Entering by Acquisition? Estimation of an Entry Model for the U.S. Cement Industry
Staff Working Paper 2011-1
Héctor Pérez Saiz
In many industries, firms usually have two choices when expanding into new markets: They can either build a new plant (greenfield entry) or they can acquire an existing incumbent. In the U.S. cement industry, the comparative advantage (e.g., TFP or size) of entrants versus incumbents and regulatory entry barriers are important factors that determine the means of expansion.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing,
Productivity
JEL Code(s):
L,
L1,
L13,
L4,
L40,
L6,
L61
Leverage, Balance Sheet Size and Wholesale Funding
Staff Working Paper 2010-39
H. Evren Damar,
Césaire Meh,
Yaz Terajima
Some evidence points to the procyclicality of leverage among financial institutions leading to aggregate volatility. This procyclicality occurs when financial institutions finance their assets with non-equity funding (i.e., debt financed asset expansions). Wholesale funding is an important source of market-based funding that allows some institutions to quickly adjust their leverage.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies,
Recent economic and financial developments
JEL Code(s):
G,
G2,
G21,
G28
The Impact of Liquidity on Bank Profitability
Staff Working Paper 2010-38
Étienne Bordeleau,
Christopher Graham
The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks.
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,
G3,
G32,
G33
Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Staff Working Paper 2010-36
Sermin Gungor,
Richard Luger
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C14,
C3,
C33,
G,
G1,
G11,
G12
Bank Competition and International Financial Integration: Evidence Using a New Index
Staff Working Paper 2010-35
Gurnain Pasricha
This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
International topics
JEL Code(s):
F,
F3,
F32,
G,
G1,
G15,
G2,
G21
The Macroeconomic Implications of Changes in Bank Capital and Liquidity Requirements in Canada: Insights from the BoC-GEM-FIN
Staff Discussion Paper 2010-16
Carlos De Resende,
Ali Dib,
Nikita Perevalov
The authors use simulations within the BoC-GEM-FIN, the Bank of Canada's version of the Global Economy Model with financial frictions in both the demand and supply sides of the credit market, to investigate the macroeconomic implications of changing bank regulations on the Canadian economy.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
Financial institutions,
Financial stability,
International topics
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
G,
G1,
G2
Adverse Selection, Liquidity, and Market Breakdown
Staff Working Paper 2010-32
Koralai Kirabaeva
This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Even a small amount of adverse selection in the asset market can lead to fire-sale pricing and possibly to a market breakdown if it is accompanied by a flight-to-liquidity, a misassessment of systemic risk, or uncertainty about asset values.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
D,
D8,
D82,
G,
G0,
G01,
G1,
G11
Text Mining and the Information Content of Bank of Canada Communications
Staff Working Paper 2010-31
Scott Hendry,
Alison Madeley
This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Monetary policy implementation
JEL Code(s):
E,
E5,
E58,
G,
G1,
G14