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215 Results

Financial Intermediation and Fire Sales with Liquidity Risk Pricing

Staff Working Paper 2024-18 Yuteng Cheng, Roberto Robatto
We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit their ability to resell assets. Viewed through the lens of the model, the liquidity requirements proposed by the U. S. Securities and Exchange Commission for these intermediaries could hurt the economy.

Finding a Needle in a Haystack: A Machine Learning Framework for Anomaly Detection in Payment Systems

Staff Working Paper 2024-15 Ajit Desai, Anneke Kosse, Jacob Sharples
Our layered machine learning framework can enhance real-time transaction monitoring in high-value payment systems, which are a central piece of a country’s financial infrastructure. When tested on data from Canadian payment systems, it demonstrated potential for accurately identifying anomalous transactions. This framework could help improve cyber and operational resilience of payment systems.
March 21, 2024

Getting to a new normal

Speech summary Toni Gravelle CFA Society Toronto Toronto, Ontario
Deputy Governor Toni Gravelle speaks about how the Bank of Canada will manage its balance sheet once quantitative tightening ends.
March 21, 2024

Going back to normal: The Bank of Canada’s balance sheet after quantitative tightening

Remarks Toni Gravelle CFA Society Toronto Toronto, Ontario
Deputy Governor Toni Gravelle provides an update on quantitative tightening and talks about how the Bank of Canada will manage its balance sheet once normalization ends.

Procyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters

Staff Discussion Paper 2023-34 Alper Odabasioglu
Regulators need to provide effective procyclicality guidance, and central counterparties must design and calibrate their margin systems and procyclicality frameworks appropriately. To serve these needs, we provide a novel conceptual tool kit. Further, we highlight that the focus should be on the key margin system parameters in determining procyclicality.

Estimating the Appropriate Quantity of Settlement Balances in a Floor System

Staff Discussion Paper 2023-26 Narayan Bulusu, Matthew McNeely, Kaetlynd McRae, Jonathan Witmer
This paper presents two complementary approaches to estimating the appropriate quantity of settlement balances needed to effectively operate monetary policy under a floor system in Canada.

Three things we learned about the Lynx payment system

Staff Analytical Note 2023-14 Nikil Chande, Zhentong Lu, Hiru Rodrigo, Phoebe Tian
Canada transitioned to a new wholesale payment system, Lynx, in August 2021. Lynx is based on a real-time settlement model that eliminates credit risk in the system. This model can require more liquidity; however, Lynx’s design allows Canada’s wholesale payments to settle efficiently.

Should Banks Be Worried About Dividend Restrictions?

Staff Working Paper 2023-49 Josef Schroth
A regulator would want to restrict dividends to force banks to rebuild capital during a crisis. But such a policy is not time-consistent. A time-consistent policy would let banks gradually rebuild capital and pay dividends even when their equity remains below pre-crisis levels.
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