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1012
result(s)
Macroeconomic Determinants of the Term Structure of Corporate Spreads
Staff Working Paper 2008-29
Jun Yang
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E44,
G,
G1,
G12
Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?
Staff Working Paper 2008-25
Philipp Maier,
Garima Vasishtha
Since 2002, spreads on emerging market sovereign debt have fallen to historical lows. Given the close links between sovereign spreads, capital flows to emerging markets, and economic growth, understanding the factors driving these spreads is very important. We address this issue in two stages.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Financial stability,
International topics
JEL Code(s):
E,
E4,
E43,
F,
F3,
F34,
G,
G1,
G12,
G15
Liquidity Efficiency and Distribution in the LVTS: Non-Neutrality of System Changes under Network Asymmetry
Staff Discussion Paper 2008-11
Sean O'Connor,
James Chapman,
Kirby Millar
The authors consider the liquidity efficiency of Tranche 2 of the Large Value Transfer System (LVTS T2) by examining, through an empirical analysis, some plausible strategic reactions of individual participants to a systemwide shock to available liquidity in the system.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G21,
L,
L1,
L13,
L14
The Implementation of Monetary Policy in Canada
Staff Discussion Paper 2008-9
Walter Engert,
Toni Gravelle,
Donna Howard
The authors present a detailed discussion of the Bank of Canada's framework for the implementation of monetary policy. As background, they provide a brief overview of the financial system in Canada, including a discussion of the financial services industry and the money market.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Monetary policy implementation,
Payment clearing and settlement systems
JEL Code(s):
E,
E5,
E52,
E58,
G,
G2,
G21
On the Amplification Role of Collateral Constraints
Staff Working Paper 2008-23
Caterina Mendicino
Following the seminal contribution of Kiyotaki and Moore (1997), the role of collateral constraints for business cycle fluctuations has been highlighted by several authors and collateralized debt is becoming a popular feature of business cycle models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates
JEL Code(s):
E,
E2,
E20,
E3,
E32
Information Shocks, Jumps, and Price Discovery - Evidence from the U.S. Treasury Market
Staff Working Paper 2008-22
George Jiang,
Ingrid Lo,
Adrien Verdelhan
We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
The Cost of Equity in Canada: An International Comparison
Staff Working Paper 2008-21
Jonathan Witmer
This paper calculates an implied cost of equity for 19 developed countries from 1991 to 2006. During this period, there has been a decline in the cost of equity of about 10-15 bps per year, which can be partially attributed to declining government yields and declining inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G30,
G38
June 19, 2008
China's Integration into the Global Financial System
Despite having the world's largest GDP when measured in terms of purchasing-power parities, the third-largest share in world exports, and the world's largest foreign exchange reserves, China has only a minor role in the global financial system. Its banks have a modest international presence; China's currency, the renminbi, is virtually not used outside the country; and Chinese capital markets are not a significant source of financing for foreign borrowers. China's modest level of integration into the global financial system is explained by the emphasis given to domestic policy priorities. As the Chinese economy matures, and as reforms strengthen the domestic financial system, China will become more important in global financial markets. Changes are already occurring as China's financial might is being channeled towards overseas investments, and the authorities have committed to greater exchange rate flexibility. These changes will facilitate integration into the global financial system. In this article, the authors describe the current situation and speculate on the future evolution of Chinese financial institutions and markets.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rate regimes,
Financial markets,
International topics
June 17, 2008
A Tool for Assessing Financial Vulnerabilities in the Household Sector
In this article, the authors build on the framework used in the Bank of Canada's Financial System Review to assess the evolution of household indebtedness and financial vulnerabilities in response to changing economic conditions. To achieve this, they first compare two microdata sets generated by Ipsos Reid's Canadian Financial Monitor and Statistics Canada's Survey of Financial Security. They find that the surveys are broadly comparable, despite methodological differences. This enables them to use the combined information content for the identification of the threshold value of the debt-service ratio (DSR). The article then presents an innovative framework that uses household-level microdata to simulate changes in the distribution of the DSR under various stress scenarios. The authors show how this framework can be used by analyzing the effects of two different scenarios on the distribution of the debt-service ratio and the impact on vulnerable households. This tool will enable researchers to refine their analyses of current risks to the financial health of Canadian households. The article concludes with comments on future directions for refining the Bank's analyses of household sector risk.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Econometric and statistical methods,
Economic models,
Financial stability