FSRC - Financial System Research Center

• Optimal Margining and Margin Relief in Centrally Cleared Derivatives Markets

  Staff Working Paper 2014-29 Radoslav Raykov

  A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and further exacerbating downturns.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Payment clearing and settlement systems JEL Code(s): G, G1, G19, G2, G21

• Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples

  Staff Working Paper 2014-27 Heng Chen, Marie-Hélène Felt, Kim Huynh

  We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, E, E4, E41

• Filling in the Blanks: Network Structure and Interbank Contagion

  Staff Working Paper 2014-26 Kartik Anand, Ben Craig, Goetz von Peter

  The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21, L, L1, L14

• Improving Overnight Loan Identification in Payments Systems

  Staff Working Paper 2014-25 Mark Rempel

  Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates, Payment clearing and settlement systems JEL Code(s): C, C3, C38, C5, C53, E, E4, E42, E44, G, G1, G10

• Rollover Risk, Liquidity and Macroprudential Regulation

  Staff Working Paper 2014-23 Toni Ahnert

  I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G0, G01, G1, G11, G2, G28

• Understanding the Cash Demand Puzzle

  Staff Working Paper 2014-22 Janet Hua Jiang, Enchuan Shao

  We develop a model to explain a puzzling trend in cash demand in recent years: the value of bank notes in circulation as a percentage of GDP has remained stable despite decreasing cash usage at points of sale owing to competition from alternative means of payment such as credit cards.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Credit and credit aggregates, Digital currencies and fintech JEL Code(s): E, E4, E41, E5, E51

• Consumer Cash Usage: A Cross-Country Comparison with Payment Diary Survey Data

  Staff Working Paper 2014-20 John Bagnall, David Bounie, Kim Huynh, Anneke Kosse, Tobias Schmidt, Scott Schuh, Helmut Stix

  We measure consumers’ use of cash by harmonizing payment diary surveys from seven countries. The seven diary surveys were conducted in 2009 (Canada), 2010 (Australia), 2011 (Austria, France, Germany and the Netherlands), and 2012 (the United States).

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): D, D1, D12, E, E4, E41, E5, E58