January 24, 2012 Sectoral Default Rates under Stress: The Importance of Non-Linearities Financial System Review - June 2007 Miroslav Misina, David Tessier Content Type(s): Publications, Financial System Review articles
Credit Risk and Collateral Demand in a Retail Payment System Staff Discussion Paper 2016-16 Héctor Pérez Saiz, Gabriel Xerri The recent financial crisis has led to the development of new regulations to control risk in designated payment systems, and the implementation of new credit risk management standards is one of the key issues. In this paper, we study various credit risk management schemes for the Canadian retail payment system (ACSS) that are designed to cover the exposure of a defaulting member. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23
Opaque Assets and Rollover Risk Staff Working Paper 2016-17 Benjamin Nelson, Toni Ahnert We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G2
Consumer Bankruptcy and Information Staff Working Paper 2012-18 Jason Allen, H. Evren Damar, David Martinez-Miera We analyze the relationship between the intensity of banks’ use of soft-information and household bankruptcy patterns. Using a unique data set on the universe of Canadian household bankruptcies, we document that bankruptcy rates are higher in markets where the collection of soft, or qualitative locally gathered information, is the weakest. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial services JEL Code(s): D, D4, G, G2
An Up-to-Date and Improved BVAR Model of the Canadian Economy Staff Working Paper 1994-4 Daniel Racette, Jacques Raynauld, Christian Sigouin In this paper, we estimate a fully optimized BVAR model of the Canadian economy for the period 1971-87. The model is well-adapted to the features of a small open economy. We show how it can be used as an input in the monetary policy process either as a forecasting instrument or an analytical tool. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models
Cash in the Pocket, Cash in the Cloud: Cash Holdings of Bitcoin Owners Staff Working Paper 2022-26 Daniela Balutel, Christopher Henry, Kim Huynh, Marcel Voia We estimate the effect that owning Bitcoin has on the amount of cash held by Canadian consumers. Our results question the view that adopting certain new technologies, such as Bitcoin, leads to a decline in cash holdings. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E4, O, O3, O33, O5, O51
Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data Staff Working Paper 2017-30 Jose Fique In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21
Estimating Settlement Risk and the Potential for Contagion in Canada's Automated Clearing Settlement System Staff Working Paper 2002-41 Carol Ann Northcott Payments systems operate virtually unnoticed in our daily lives and yet are crucial to a wellfunctioning economy and financial system. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, G, G2, G21
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 Research Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23
November 6, 2018 External academic consultants Meet the academic consultants and researchers from outside the Bank who are working with us.