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2373
result(s)
What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
Staff Working Paper 2016-61
Jean-Sébastien Fontaine
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E44,
E47,
G,
G1,
G12,
G13
Non-Bank Investors and Loan Renegotiations
Staff Working Paper 2016-60
Teodora Paligorova,
João Santos
We document that the structure of syndicates affects loan renegotiations. Lead banks with large retained shares have positive effects on renegotiations. In contrast, more diverse syndicates deter renegotiations, but only for credit lines.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G23
Monetary Policy, Private Debt and Financial Stability Risks
Staff Working Paper 2016-59
Gregory Bauer,
Eleonora Granziera
Can monetary policy be used to promote financial stability? We answer this question by estimating the impact of a monetary policy shock on private-sector leverage and the likelihood of a financial crisis. Impulse responses obtained from a panel VAR model of 18 advanced countries suggest that the debt-to-GDP ratio rises in the short run following an unexpected tightening in monetary policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Monetary policy,
Monetary policy transmission
JEL Code(s):
C,
C2,
C21,
C23,
E,
E5,
E52,
E58
Equity Option-Implied Probability of Default and Equity Recovery Rate
Staff Working Paper 2016-58
Bo Young Chang,
Greg Orosi
There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G13,
G3,
G33
December 15, 2016
Toward More Resilient Markets: Over-the-Counter Derivatives Reform in Canada
In Toward More Resilient Markets: Over-the-Counter Derivatives Reform in Canada, Michael Mueller and André Usche show that the implementation of derivatives market reforms in Canada is well under way and has lessened vulnerabilities. But accompanying changes to market structure have both positive and negative effects that require ongoing attention from authorities.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G1,
G15,
G2,
G28
December 15, 2016
The Rise of Mortgage Finance Companies in Canada: Benefits and Vulnerabilities
The Rise of Mortgage Finance Companies in Canada: Benefits and Vulnerabilities, by Don Coletti, Marc-André Gosselin and Cameron MacDonald, examines the increased importance of mortgage finance companies (MFCs) in the Canadian mortgage market. The authors discuss the MFC business model, highlighting MFCs’ relationship with mortgage brokers and banks, as well as the benefits they bring to Canadian borrowers. The authors conclude with a discussion of the impact of MFCs on financial system vulnerabilities.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G23
December 15, 2016
Monitoring Shadow Banking in Canada: A Hybrid Approach
Financial System Review - December 2016
Bo Young Chang,
Gitanjali Kumar,
André Usche,
Michael Januska
In Monitoring Shadow Banking in Canada: A Hybrid Approach, Bo Young Chang, Michael Januska, Gitanjali Kumar and André Usche discuss how lending that occurs outside the traditional banking system provides benefits to the economy but must be monitored carefully for potential financial sector vulnerabilities. They describe how the Bank defines and measures shadow banking and how it assesses vulnerabilities in the sector, using an approach that examines both markets and entities.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G0,
G01,
G2,
G23
Options Decimalization
Staff Working Paper 2016-57
Faith Chin,
Corey Garriott
We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1,
L10
Bank Screening Heterogeneity
Staff Working Paper 2016-56
Thibaut Duprey
Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks’ abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have opposite effects.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G14,
G2,
G21,
L,
L1,
L13