G - Financial Economics

• 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 Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23

• Time-Varying Crash Risk: The Role of Stock Market Liquidity

  Staff Working Paper 2016-35 Peter Christoffersen, Bruno Feunou, Yoontae Jeon, Chayawat Ornthanalai

  We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial stability JEL Code(s): G, G0, G01, G1, G12

• International Banking and Cross-Border Effects of Regulation: Lessons from Canada

  Staff Working Paper 2016-34 H. Evren Damar, Adi Mordel

  We study how changes in prudential requirements affect cross-border lending of Canadian banks by utilizing an index that aggregates adjustments in key regulatory instruments across jurisdictions.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): F, F3, F34, G, G0, G01, G2, G21

• The Role of Central Banks in Promoting Financial Stability: An International Perspective

  Staff Discussion Paper 2016-15 Rose Cunningham, Christian Friedrich

  The 2007–09 global financial crisis has led policy-makers around the world, including central banks, to refocus their efforts to promote financial stability. As part of this process, central banks became quite active in supporting financial stability in a variety of ways, such as publicly sharing their assessments of financial system vulnerabilities and risks and helping to strengthen regulation, supervision and macroprudential measures.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): E, E5, G, G0, G01, G2, G28

• Global Macro Risks in Currency Excess Returns

  Staff Working Paper 2016-32 Kimberly Berg, Nelson C. Mark

  We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Exchange rates, Interest rates JEL Code(s): E, E2, E21, E4, E43, F, F3, F31, G, G1, G12

• Financial Inclusion—What’s it Worth?

  Staff Working Paper 2016-30 Miguel Ampudia, Michael Ehrmann

  The paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from The Eurosystem Household Finance and Consumption Survey and the U.S. Survey of Consumer Finances, it first documents that there are, respectively, 3.6 per cent and 7.5 per cent of unbanked households in the two economies.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial services, Financial system regulation and policies, Housing JEL Code(s): D, D1, D14, G, G2, G21, G28