G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach
This report provides a detailed technical description of a stress test model for investment funds called Ceto. -
Non-Bank Financial Intermediation in Canada: An Update
Non-bank financing provides an important funding source for the economy and is a valuable alternative to traditional banking. It helps enhance the efficiency and resiliency of the financial system while giving customers more choices for their financial services. Unlike banking, it is not prudentially regulated. -
Liquidity Management of Canadian Corporate Bond Mutual Funds: A Machine Learning Approach
When redeeming shares for investors, bond fund managers must choose a mix of cash and bond sales to honour their commitments. This note uses machine learning algorithms to uncover new patterns in decisions fund managers make to meet redemptions. -
Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing
Recent research suggests that quantitative easing (QE) may affect a broad range of asset prices through a portfolio balance channel. Using novel security-level holding data of individual US mutual funds, we establish evidence that portfolio rebalancing occurred both within and across funds. -
Redemption Runs in Canadian Corporate Bond Funds?
Mutual funds employ a host of tools to manage redemption run risk. However, our results suggest that Canadian corporate bond funds may be vulnerable to redemption runs, especially when they are less liquid and when market volatility is high. -
A Primer on the Canadian Bankers’ Acceptance Market
This paper discusses how the bankers’ acceptance (BA) market in Canada is organized and its essential link to the Canadian Dollar Offered Rate (CDOR). Globally, BAs are a niche product used only in a limited number of jurisdictions. -
How do Canadian Corporate Bond Mutual Funds Meet Investor Redemptions?
When investors redeem their fund shares for cash, fixed-income fund managers can choose whether to draw on their liquid holdings or sell bonds in the secondary market. We analyze the liquidity-management decisions of Canadian corporate bond mutual funds, focusing on the strategies they use to meet investor redemptions. -
Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement
We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms. -
Did Canadian Corporate Bond Funds Increase their Exposures to Risks?
Canadian corporate bond mutual funds have rapidly increased in number and size in recent years. Their holdings have also become riskier, increasing their exposures to credit risk, interest rate risk and liquidity risk. We also briefly discuss financial stability implications.