Céline Gauthier - Latest

• Emergency Liquidity Facilities, Signalling and Funding Costs

  Staff Working Paper 2015-44 Céline Gauthier, Alfred Lehar, Héctor Pérez Saiz, Moez Souissi

  In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve’s discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Lender of last resort JEL Code(s): G, G0, G01, G2, G21, G28

• Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach

  Staff Working Paper 2015-32 Kartik Anand, Céline Gauthier, Moez Souissi

  We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28
• May 17, 2012

  Understanding Systemic Risk in the Banking Sector: A MacroFinancial Risk Assessment Framework

  Bank of Canada Review - Spring 2012 Céline Gauthier, Moez Souissi

  The MacroFinancial Risk Assessment Framework (MFRAF) models the interconnections between liquidity and solvency in a financial system, with multiple institutions linked through an interbank network. The MFRAF integrates funding liquidity risk as an endogenous outcome of the interactions between solvency risk and the liquidity profiles of banks, which is a complementary approach to the new […]

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): E, E4, E44, G, G0, G01, G2, G21

• What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?

  Staff Discussion Paper 2011-9 Céline Gauthier, Toni Gravelle, Xuezhi Liu, Moez Souissi

  One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21
• May 19, 2011

  Understanding and Measuring Liquidity Risk: A Selection of Recent Research

  Bank of Canada Review - Spring 2011 Céline Gauthier, Hajime Tomura

  During the recent financial crisis, one of the forces set in motion by the initial losses on subprime-mortgage loans was a significant decline in the market liquidity of assets and in the ability of financial institutions to obtain funding in wholesale markets. In this article, the authors summarize recent research that clarifies the role of liquidity in destabilizing the financial system and examine the implications of this research for the recently announced financial system reforms, including Basel III.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial markets, Financial stability, Financial system regulation and policies

• Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings

  Staff Working Paper 2010-29 Céline Gauthier, Zhongfang He, Moez Souissi

  We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21

• Macroprudential Regulation and Systemic Capital Requirements

  Staff Working Paper 2010-4 Céline Gauthier, Alfred Lehar, Moez Souissi

  In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G2, G21
• December 14, 2009

  Towards a Stress-Testing Model Consistent with the Macroprudential Approach

  Financial System Review - December 2009 Céline Gauthier, Alfred Lehar, Moez Souissi

  Content Type(s): Publications, Financial System Review articles
• March 16, 2008

  Developing a Framework to Assess Financial Stability: Conference Highlights and Lessons

  Bank of Canada Review - Spring 2008 Olivier de Bandt, Céline Gauthier, Pierre St-Amant

  Central banks are still defining their approach to financial stability and are at an early stage in the development of useful models. The Bank of Canada's 2007 economic conference was organized to stimulate progress in the development of financial-stability frameworks. Among the highlights reported here are the discussions centred around three proposed frameworks: a contingent-claims-analysis framework, a semi-structural framework, and structural financial-stability models. Participants also reported on their experiences with stress-testing under the International Monetary Fund's Financial Sector Assessment Program and discussed the implications for financial stability of linkages among payment, clearing, and settlement systems.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial stability, Financial system regulation and policies, Payment clearing and settlement systems

• Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model

  Staff Working Paper 2006-42 Céline Gauthier, Fuchun Li

  The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4