Staff research

• 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 Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C5, C55, C8, C81, G, G1, G10

• 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 Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G10, G2, G20