C49 - Other

• Transmission of Cyber Risk Through the Canadian Wholesale Payment System

  Staff Working Paper 2022-23 Anneke Kosse, Zhentong Lu

  This paper studies how the impact of a cyber attack that paralyzes one or multiple banks' ability to send payments would transmit to other banks through the Canadian wholesale payment system. Based on historical payment data, we simulate a wide range of scenarios and evaluate the total payment disruption in the system.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C4, C49, E, E4, E42, E47, G, G2, G21

• The Impact of Operational Events on the Network Structure of the LVTS

  Staff Discussion Paper 2011-7 Tom Roberts

  The author uses a quantitative network analysis approach to assess how participants in the Large Value Transfer System (LVTS) respond to partial outages at other banks.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Payment clearing and settlement systems JEL Code(s): C, C4, C49, G, G1, G14, G2, G21

• Identifying Asymmetric Comovements of International Stock Market Returns

  Staff Working Paper 2010-21 Fuchun Li

  Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, International topics JEL Code(s): C, C4, C49, F, F2, F21, G, G1, G15, G19

• Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model

  Staff Working Paper 2001-23 Ying Liu

  This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C2, C22, C4, C49, E, E4, E47