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2373
result(s)
Efficiency and Bargaining Power in the Interbank Loan Market
Staff Working Paper 2012-29
Jason Allen,
James Chapman,
Federico Echenique,
Matthew Shum
Using detailed loan transactions-level data we examine the efficiency of an overnight interbank lending market, and the bargaining power of its participants. Our analysis relies on the equilibrium concept of the core, which imposes a set of no-arbitrage conditions on trades in the market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Payment clearing and settlement systems
JEL Code(s):
C,
C7,
C71,
E,
E5,
E58,
G,
G2,
G21,
G28
The Bank of Canada’s 2009 Methods-of-Payment Survey: Methodology and Key Results
Staff Discussion Paper 2012-6
Carlos Arango,
Angelika Welte
The authors present the methodology and main findings of the Bank of Canada’s 2009 Methods-of-Payment survey, a detailed investigation of consumer payment behaviour in Canada. The survey targeted the 18- to 75-year-old Canadian resident population.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
E,
E4
What Drags and Drives Mobility: Explaining Canada’s Aggregate Migration Patterns
Staff Working Paper 2012-28
David Amirault,
Daniel de Munnik,
Sarah Miller
Using census data at the economic region level from 1991 to 2006 and a gravity model framework, this paper examines the factors that influence migration within Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Labour markets,
Regional economic developments
JEL Code(s):
J,
J6,
J61,
R,
R2,
R23
Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads
We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of credit spreads. Our model allows for time variation and lumpiness in the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity raises the costs of financing.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Debt management
JEL Code(s):
G,
G3,
G32,
G33
Natural Monopoly and Distorted Competition: Evidence from Unbundling Fiber-Optic Networks
Staff Working Paper 2012-26
Naoaki Minamihashi
Can regulation solve problems arising from a natural monopoly? This paper analyzes whether “unbundling,” referring to regulations that enforce sharing of natural monopolistic infrastructure, prevents entrants from building new infrastructure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Market structure and pricing,
Productivity
JEL Code(s):
K,
K2,
K23,
L,
L4,
L43,
L9,
L96
Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices
Staff Working Paper 2012-25
Jonathan Witmer
Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
F,
F3,
F30,
G,
G0,
G01,
G1,
G18,
G2,
G20
August 16, 2012
Measurement Bias in the Canadian Consumer Price Index: An Update
The consumer price index (CPI) is the most commonly used measure to track changes in the overall level of prices. Since it departs from a true cost-of-living index, the CPI is subject to four types of measurement bias—commodity substitution, outlet substitution, new goods and quality adjustment. The author updates previous Bank of Canada estimates of measurement bias in the Canadian CPI by examining these four sources of potential bias. He finds the total measurement bias over the 2005–11 period to be about 0.5 percentage point per year, consistent with the Bank’s earlier findings. Slightly more than half of this bias is caused by the fixed nature of the CPI basket of goods and services.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Inflation and prices,
Inflation targets
JEL Code(s):
E,
E3,
E31,
E5,
E52
August 16, 2012
Global Risk Premiums and the Transmission of Monetary Policy
An important channel in the transmission of monetary policy is the relationship between the short-term policy rate and long-term interest rates. Using a new term-structure model, the authors show that the variation in long-term interest rates over time consists of two components: one representing investor expectations of future policy rates, and another reflecting a term-structure risk premium that compensates investors for holding a risky asset. The time variation in the term-structure risk premium is countercyclical and largely determined by global macroeconomic conditions. As a result, long-term rates are pushed up during recessions and down during times of expansion. This is an important phenomenon that central banks need to take into account when using short-term rates as a policy tool.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Asset pricing,
Financial markets,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12,
G15
August 16, 2012
An Analysis of Indicators of Balance-Sheet Risks at Canadian Financial Institutions
This article examines four indicators of balance-sheet risks—leverage, capital, asset liquidity and funding—among different types of financial institutions in Canada over the past three decades. It also discusses relevant developments in the banking sector that could have contributed to the observed dynamics. The authors find that the various risk indicators decreased during the period for most of the non-Big Six financial institutions, but remained relatively unchanged for the Big Six banks. In addition, the balance-sheet risk indicators became more heterogeneous across financial institutions. The observed overall decline and increased heterogeneity follow certain regulatory changes, such as the introduction of the liquidity guidelines on funding in 1995 and the implementation of bank-specific leverage requirements in 2000. Given that these regulations required more balance-sheet risk management, they have likely contributed to the increased resilience of the banking sector.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28