March 9, 2010
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1010
result(s)
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
Corporate Risk Taking and Ownership Structure
Staff Working Paper 2010-3
Teodora Paligorova
This paper investigates the determinants of corporate risk taking. Shareholders with substantial equity ownership in a single company may advocate conservative investment policies due to greater exposure to firm risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G31,
G34
Search Frictions and Asset Price Volatility
Staff Working Paper 2010-1
B. Ravikumar,
Enchuan Shao
We examine the quantitative effect of search frictions in product markets on asset price volatility. We combine several features from Shi (1997) and Lagos and Wright (2002) in a model without money. Households prefer special goods and general goods.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
E,
E4,
E44,
G,
G1,
G12
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
Market Timing of Long-Term Debt Issuance
Staff Discussion Paper 2009-14
Jonathan Witmer
The literature on market timing of long-term debt issuance yields mixed evidence that managers can successfully time their debt-maturity issuance. The early results that are indicative of debt-maturity timing are not robust to accounting for structural breaks or to other measures of debt maturity from firm-level data that account for call and put provisions in […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G30,
G38
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
Real Time Detection of Structural Breaks in GARCH Models
Staff Working Paper 2009-31
Zhongfang He,
John M. Maheu
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C11,
C15,
C2,
C22,
C5,
C53
November 11, 2009
The Evolution of Capital Flows to Emerging-Market Economies
Many emerging-market economies (EMEs) have significantly improved their macroeconomic fundamentals and undergone structural reforms since the Asian crisis. These developments have enhanced the composition of capital flows to EMEs through an improved debt structure, a larger share of capital flows as foreign direct investment, and greater access to international debt markets for corporations in EMEs. Structural changes in the global financial landscape have also increased capital flows, bringing economic and financial benefits to EMEs. During the recent financial crisis, however, the opening up of capital accounts and increased financial and trade linkages left many countries vulnerable to external disruptions. Countries with sound fundamentals have weathered the crisis relatively well. Policy-makers in EMEs need to implement policies that support capital flows and ensure that controls imposed to deal with detrimental outflows during periods of stress or rapid inflows are only temporary.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Development economics,
Financial markets,
Financial system regulation and policies