G - Financial Economics

• Macroeconomic Experiences and Risk Taking of Euro Area Households

  Staff Working Paper 2014-10 Miguel Ampudia, Michael Ehrmann

  This paper studies to what extent the experiences of households shape their willingness to take financial risks. It follows the methodology of Malmendier and Nagel (2011) and applies it to a novel data set on household finances covering euro area households.

  Content Type(s): Staff research, Staff working papers Topic(s): Sectoral balance sheet JEL Code(s): D, D0, D03, D1, D14, D8, D83, G, G1, G11

• Rollover Risk and the Maturity Transformation Function of Banks

  Staff Working Paper 2014-8 Teodora Paligorova, João Santos

  This paper shows that banks that rely heavily on short-term funding engage less in maturity transformation in an attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well as the maturity of newly issued loans. We find that the loan yield curve becomes steeper with banks’ increasing use of short-term funding.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability JEL Code(s): G, G2, G21

• Database of Sovereign Defaults, 2017

  Technical Report No. 101 David Beers, Jamshid Mavalwalla

  Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website.

  Content Type(s): Staff research, Technical reports Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15

• Banks’ Financial Distress, Lending Supply and Consumption Expenditure

  Staff Working Paper 2014-7 H. Evren Damar, Reint Gropp, Adi Mordel

  The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Domestic demand and components, Financial institutions JEL Code(s): E, E2, E21, E4, E44, G, G0, G01, G2, G21

• Corporate Governance, Product Market Competition and Debt Financing

  Staff Working Paper 2014-5 Teodora Paligorova, Jun Yang

  This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G12, G3, G34

• Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy

  Staff Working Paper 2014-3 Sermin Gungor, Jesus Sierra

  This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds’ risk exposure in response to monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Monetary policy transmission JEL Code(s): E, E5, E52, G, G2, G23

• It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match

  Staff Working Paper 2014-2 Michael Ehrmann, David-Jan Jansen

  The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets JEL Code(s): G, G0, G02, G1, G12, G14, G15

• Household Risk Management and Actual Mortgage Choice in the Euro Area

  Staff Working Paper 2014-1 Michael Ehrmann, Michael Ziegelmeyer

  Mortgages constitute the largest part of household debt. An essential choice when taking out a mortgage is between fixed-interest-rate mortgages (FRMs) and adjustable-interest-rate mortgages (ARMs). However, so far, no comprehensive cross‐country study has analyzed what determines household demand for mortgage types, a task that this paper takes up using new data for the euro area.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Monetary policy transmission JEL Code(s): D, D1, D12, E, E4, E43, E5, E52, G, G2, G21