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2371
result(s)
Household Debt, Assets, and Income in Canada: A Microdata Study
Staff Discussion Paper 2009-7
Césaire Meh,
Yaz Terajima,
David Xiao Chen,
Thomas J. Carter
The authors use microdata from the 1999 and 2005 Surveys of Financial Security to identify changes in household debt, and discuss their potential implications for monetary policy and financial stability. They document an increase in the debt-income ratio, which rose from 0.75 to 0.95, on average.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Productivity,
Sectoral balance sheet
JEL Code(s):
E,
E2,
E21,
E24
June 21, 2009
Procyclicality and Bank Capital
Content Type(s):
Publications,
Financial System Review articles
June 21, 2009
Procyclicality and Value at Risk
Content Type(s):
Publications,
Financial System Review articles
June 21, 2009
Procyclicality and Margin Requirements
Content Type(s):
Publications,
Financial System Review articles
June 21, 2009
Procyclicality and Compensation
Content Type(s):
Publications,
Financial System Review articles
The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
Staff Working Paper 2009-20
Bruno Feunou,
Jean-Sébastien Fontaine,
Roméo Tedongap
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G13
June 11, 2009
Collateral Management in the LVTS by Canadian Financial Institutions
This article examines the incentives for banks to hold various assets on their balance sheets for use as collateral when the opportunity cost of doing so can be high. Focusing on the five-year period (2002-07) that preceded the financial crisis, it examines the choices made by financial institutions among the assets that are pledged as collateral in Canada's Large Value Transfer System. This serves as a baseline for collateral-management practices during relatively normal times. The results of this study are important for policy-makers, especially the Bank of Canada, which is concerned both about the efficient functioning of fixed-income markets and about the credit risk it ultimately bears in insuring LVTS settlement. The results suggest that relative market liquidity and market-making capacity are important factors in the choice of securities pledged as collateral in the LVTS.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial institutions,
Financial markets,
Payment clearing and settlement systems