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64 Results

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.

BoC–BoE Sovereign Default Database: Appendix and References

Technical Report No. 125 David Beers, Obiageri Ndukwe, Alex Charron
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).

BoC–BoE Sovereign Default Database: Methodology and Assumptions

Technical Report No. 124 David Beers, Obiageri Ndukwe, Alex Charron
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.

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.

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.

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.

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.

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.
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