Uncategorized

• December 31, 2010

  Summary of Government of Canada - Outstanding as at 31 December 2010

  Content Type(s): Publications, Historical: Securities and loans

• Leverage, Balance Sheet Size and Wholesale Funding

  Staff Working Paper 2010-39 H. Evren Damar, Césaire Meh, Yaz Terajima

  Some evidence points to the procyclicality of leverage among financial institutions leading to aggregate volatility. This procyclicality occurs when financial institutions finance their assets with non-equity funding (i.e., debt financed asset expansions). Wholesale funding is an important source of market-based funding that allows some institutions to quickly adjust their leverage.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies, Recent economic and financial developments JEL Code(s): G, G2, G21, G28

• The Impact of Liquidity on Bank Profitability

  Staff Working Paper 2010-38 Étienne Bordeleau, Christopher Graham

  The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G2, G21, G3, G32, G33

• 'Lean' versus 'Rich' Data Sets: Forecasting during the Great Moderation and the Great Recession

  Staff Working Paper 2010-37 Marco J. Lombardi, Philipp Maier

  We evaluate forecasts for the euro area in data-rich and ‘data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus data from national economies (pseudo-real time data).

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47

• Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach

  Staff Working Paper 2010-36 Sermin Gungor, Richard Luger

  We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C3, C33, G, G1, G11, G12
• December 21, 2010

  Bank of Canada Announces Extension of Expanded Swap Facility with U.S. Federal Reserve

  The Federal Open Market Committee has authorized an extension through 1 August 2011, of its temporary U.S. dollar liquidity swap arrangements with the Bank of Canada, the Bank of England, the European Central Bank, the Bank of Japan, and the Swiss National Bank. The swap arrangements, established in May 2010, had been authorized through January 2011.

  Content Type(s): Press, Market notices

• Bank Competition and International Financial Integration: Evidence Using a New Index

  Staff Working Paper 2010-35 Gurnain Pasricha

  This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, International topics JEL Code(s): F, F3, F32, G, G1, G15, G2, G21

• Composition of International Capital Flows: A Survey

  Staff Working Paper 2010-33 Koralai Kirabaeva, Assaf Razin

  We survey several key mechanisms that explain the composition of international capital flows: foreign direct investment, foreign portfolio investment and debt flows (bank loans and bonds). In particular, we focus on the following market frictions: asymmetric information in capital markets and exposure to liquidity shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics JEL Code(s): D, D8, D82, F, F2, F21, F3, F34
• December 20, 2010

  Strengthening the Infrastructure of Over-the-Counter Derivatives Markets

  Financial System Review - December 2010 Carolyn A. Wilkins, Elizabeth Woodman

  Content Type(s): Publications, Financial System Review articles
• December 17, 2010

  Summary of the 2010 Survey on Canadian Foreign Exchange Hedging

  Since 2004, the Bank of Canada has undertaken an annual questionnaire with banks that are active in Canadian foreign exchange (FX) markets, including the eleven members of the Canadian Foreign Exchange Committee (CFEC), to gauge FX hedging activities of Canadian corporate customers.

  Content Type(s): Press, Market notices Source(s): Canadian Foreign Exchange Committee