Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Markets Look Beyond the Headline
Staff Analytical Note 2018-37
Bruno Feunou,
James Kyeong,
Raisa Leiderman
Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Exchange rates,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G1,
G12,
G14
Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests
Staff Working Paper 2018-54
Maarten van Oordt
How much capital do banks need as a buffer to absorb severe shocks? By using historical stock market data, market-based stress tests help estimate the magnitude of capital buffers necessary to absorb severe but plausible shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G10,
G2,
G21,
G28
Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?
Staff Analytical Note 2018-31
Chen Fan,
Sermin Gungor,
Guillaume Nolin,
Jun Yang
Since 2010, the liquidity of corporate bonds has improved on average, while their trading activity has remained stable. We find that the liquidity and trading activity of riskier bonds or bonds issued by firms in different sectors have been stable. However, the liquidity and trading activity of bonds issued by banks have improved. We observe short-lived episodes of deterioration in liquidity and trading activity.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
Financial Development Beyond the Formal Financial Market
Staff Working Paper 2018-49
Lin Shao
This paper studies the effects of financial development, taking into account both formal and informal financing. Using cross-country firm-level data, we document that informal financing is utilized more by rich countries than poor countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Firm dynamics,
Productivity
JEL Code(s):
E,
E4,
E44,
O,
O1,
O17,
O4,
O47
Government of Canada Fixed-Income Market Ecology
Staff Discussion Paper 2018-10
Léanne Berger-Soucy,
Corey Garriott,
André Usche
This discussion paper is the third in the Financial Markets Department’s series on the structure of Canadian financial markets. These papers are called “ecologies” because they study the interactions among market participants, infrastructures, regulations and the terms of the traded contract itself.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Debt management,
Financial institutions,
Financial markets,
Financial services
JEL Code(s):
G,
G1,
G10,
G2,
G20,
H,
H6,
H63
Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?
Staff Analytical Note 2018-30
Chen Fan,
Sermin Gungor,
Guillaume Nolin,
Jun Yang
In recent years, the liquidity in the secondary market for Canadian provincial bonds was a concern for many market participants. We find that a proxy for the bid-ask spread has deteriorated modestly since 2010. However, a proxy for price impact as well as measures of trade size, the number of trades and turnover have been stable or improved since 2010. This holds for bonds issued by different provinces and for bonds of different ages and sizes. Alberta bonds provide an interesting case study: After the fall in oil prices in 2014–15, the province increased its borrowing in the bond market and its credit rating was downgraded. Yet trading activity for Alberta bonds increased significantly. Overall, we interpret the evidence as a sign of resilience in the provincial bond market.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
Should Bank Capital Regulation Be Risk Sensitive?
Staff Working Paper 2018-48
Toni Ahnert,
James Chapman,
Carolyn A. Wilkins
We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker’s choice of risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
Challenges in Implementing Worst-Case Analysis
Staff Working Paper 2018-47
Jon Danielsson,
Lerby Ergun,
Casper G. de Vries
Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
C,
C0,
C01,
C1,
C14,
C5,
C58
How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times
Staff Working Paper 2018-46
Geneviève Vallée
Using an exclusive data set of payment times for retail transactions made in Canada, I show that cash is the most time-efficient method of payment (MOP) when compared with payments by debit and credit cards. I model payment efficiency using Cox proportional hazard models, accounting for consumer choice of MOP.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Econometric and statistical methods,
Payment clearing and settlement systems
JEL Code(s):
C,
C2,
C25,
C3,
C36,
C4,
C41,
D,
D2,
D23,
E,
E4,
E41,
E42