BoC–BoE Sovereign Default Database: What’s new in 2023? Staff analytical note 2023-10 David Beers, Obiageri Ndukwe, Karim McDaniels, Alex Charron The BoC–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default. The 2023 edition includes a new section about the characteristics of sovereign defaults and provides new visuals showing regional debt in default. Content Type(s): Staff research, Staff analytical notes JEL Code(s): F, F3, F34, G, G1, G10, G14, G15 Research Theme(s): Financial markets and funds management, Funds management, International markets and currencies, Financial system, Financial stability and systemic risk
BoC–BoE Sovereign Default Database: Appendix and References Technical report No. 125 David Beers, Obiageri Ndukwe, Joe Berry Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE). Content Type(s): Staff research, Technical reports JEL Code(s): F, F3, F34, G, G1, G10, G14, G15 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial stability and systemic risk
BoC–BoE Sovereign Default Database: Methodology and Assumptions Technical report No. 124 David Beers, Obiageri Ndukwe, Joe Berry The Bank of Canada (BoC), in partnership with the Bank of England (BoE), developed a comprehensive database of sovereign defaults in 2014. The database is posted on the Bank of Canada’s website and updated annually. The BoC–BoE database draws on datasets published by various public and private sector sources. It combines elements of these, together with new information, to develop comprehensive estimates of stocks of government obligations in default. Content Type(s): Staff research, Technical reports JEL Code(s): F, F3, F34, G, G1, G10, G14, G15 Research Theme(s): Financial markets and funds management, Funds management, International markets and currencies, Financial system, Financial stability and systemic risk
Global Demand and Supply Sentiment: Evidence from Earnings Calls Staff working paper 2023-37 Temel Taskin, Franz Ulrich Ruch This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, G, G1, G10 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
On the Fragility of DeFi Lending Staff working paper 2023-14 Jonathan Chiu, Emre Ozdenoren, Kathy Yuan, Shengxing Zhang We develop a dynamic model to capture key features of decentralized finance lending. We identify a price-liquidity feedback: the market outcome in any given period depends on agents' expectations about lending activities in future periods, with higher future price expectations leading to more lending and higher prices in that period. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G1, G10 Research Theme(s): Financial system, Financial stability and systemic risk, Money and payments, Digital assets and fintech
BoC–BoE Sovereign Default Database: What’s new in 2022? Staff analytical note 2022-11 David Beers, Elliot Jones, Karim McDaniels, Zacharie Quiviger The BoC–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default. Content Type(s): Staff research, Staff analytical notes JEL Code(s): F, F3, F34, G, G1, G10, G14, G15 Research Theme(s): Financial markets and funds management, Funds management, International markets and currencies, Financial system, Financial stability and systemic risk
Fixed-income dealing and central bank interventions Staff analytical note 2022-9 David Cimon, Adrian Walton We summarize the theoretical model of central bank asset purchases developed in Cimon and Walton (2022). The model helps us understand how asset purchases ease pressures on investment dealers to restore market conditions in a crisis. Content Type(s): Staff research, Staff analytical notes JEL Code(s): G, G1, G10, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Models and tools, Economic models, Monetary policy, Monetary policy tools and implementation
Historical Data on Repurchase Agreements from the Canadian Depository for Securities Technical report No. 121 Maxim Ralchenko, Adrian Walton We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research. Content Type(s): Staff research, Technical reports JEL Code(s): C, C5, C55, C8, C81, G, G1, G10 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
Asymmetric Systemic Risk Staff working paper 2022-19 Radoslav Raykov, Consuelo Silva-Buston Bank regulation presumes risks spill over more easily from large banks to the banking system than vice versa. Interestingly, we observe this is not the case. We find that the capacity to transmit risk is larger in the system-to-bank direction, leading to an increased default risk. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G10, G2, G20 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Financial system regulation and oversight
Central Bank Liquidity Facilities and Market Making Staff working paper 2022-9 David Cimon, Adrian Walton We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G10, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Monetary policy, Monetary policy tools and implementation