Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Redemption Runs in Canadian Corporate Bond Funds?
Staff Analytical Note 2018-21
Rohan Arora
Mutual funds employ a host of tools to manage redemption run risk. However, our results suggest that Canadian corporate bond funds may be vulnerable to redemption runs, especially when they are less liquid and when market volatility is high.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
G,
G0,
G01,
G2,
G23
Bootstrapping Mean Squared Errors of Robust Small-Area Estimators: Application to the Method-of-Payments Data
Staff Working Paper 2018-28
Valéry Dongmo Jiongo,
Pierre Nguimkeu
This paper proposes a new bootstrap procedure for mean squared errors of robust small-area estimators. We formally prove the asymptotic validity of the proposed bootstrap method and examine its finite sample performance through Monte Carlo simulations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Econometric and statistical methods
JEL Code(s):
C,
C1,
C13,
C15,
C8,
C83,
E,
E4,
E41
Swedish Riksbank Notes and Enskilda Bank Notes: Lessons for Digital Currencies
Staff Working Paper 2018-27
Ben Fung,
Scott Hendry,
Warren E. Weber
This paper examines the experience of Sweden with government notes and private bank notes to determine how well the Swedish experience corresponds to that of Canada and the United States. Sweden is important to study because it has had government notes in circulation for more than 350 years, and it had government notes before private bank notes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial services
JEL Code(s):
E,
E4,
E41,
E42,
E5,
E58
The Scale and Scope of Online Retail
Staff Analytical Note 2018-19
Alex Chernoff
This paper studies the growth of online retail over the period 1999–2012, using confidential firm-product-level data for Canada. The revenue of online retailers is decomposed into the contributions of product scope (the number of product categories) and product scale (average revenue per product category).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Digital currencies and fintech,
Firm dynamics,
International topics
JEL Code(s):
D,
D2,
D22,
L,
L1,
L11,
L8,
L81
A Primer on the Canadian Bankers’ Acceptance Market
Staff Discussion Paper 2018-6
Kaetlynd McRae,
Danny Auger
This paper discusses how the bankers’ acceptance (BA) market in Canada is organized and its essential link to the Canadian Dollar Offered Rate (CDOR). Globally, BAs are a niche product used only in a limited number of jurisdictions.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G18,
G2,
G21,
G23
Ambiguity, Nominal Bond Yields and Real Bond Yields
Staff Working Paper 2018-24
Guihai Zhao
Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G0,
G00,
G1,
G12
Interest Rate and Renewal Risk for Mortgages
Staff Analytical Note 2018-18
Olga Bilyk,
Cameron MacDonald,
Brian Peterson
In this note, we explore two types of risk faced by holders of mortgages and home equity lines of credit (HELOCs) in the context of rising interest rates: interest rate risk and renewal risk.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Credit and credit aggregates,
Financial institutions,
Interest rates,
Recent economic and financial developments
JEL Code(s):
D,
D1,
E,
E4,
E5,
G,
G2,
G21,
G28
Measuring Vulnerabilities in the Non-Financial Corporate Sector Using Industry- and Firm-Level Data
Staff Analytical Note 2018-17
Timothy Grieder,
Michal Lipsitz
Aggregate non-financial corporate debt-to-GDP has been growing rapidly in recent years and is at an all-time high. This growth began in 2011 and accelerated as the oil price shock affected the Canadian economy.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial stability,
Monetary and financial indicators,
Recent economic and financial developments,
Sectoral balance sheet
JEL Code(s):
G,
G0,
G01,
G3,
G32
How do Canadian Corporate Bond Mutual Funds Meet Investor Redemptions?
Staff Analytical Note 2018-14
Guillaume Ouellet Leblanc,
Rohan Arora
When investors redeem their fund shares for cash, fixed-income fund managers can choose whether to draw on their liquid holdings or sell bonds in the secondary market. We analyze the liquidity-management decisions of Canadian corporate bond mutual funds, focusing on the strategies they use to meet investor redemptions.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23