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2360
result(s)
Filling in the Blanks: Network Structure and Interbank Contagion
Staff Working Paper 2014-26
Kartik Anand,
Ben Craig,
Goetz von Peter
The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial stability
JEL Code(s):
C,
C6,
C63,
D,
D8,
D85,
G,
G2,
G21,
L,
L1,
L14
Improving Overnight Loan Identification in Payments Systems
Staff Working Paper 2014-25
Mark Rempel
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates,
Payment clearing and settlement systems
JEL Code(s):
C,
C3,
C38,
C5,
C53,
E,
E4,
E42,
E44,
G,
G1,
G10
Sheep in Wolf’s Clothing: Using the Least Squares Criterion for Quantile Estimation
Staff Working Paper 2014-24
Heng Chen
Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C13,
C14,
C2,
C21
June 12, 2014
Stress Testing the Canadian Banking System: A System-Wide Approach
Stress testing is an important tool used by financial authorities and entities around the world to evaluate potential risks to the financial system. Kartik Anand, Guillaume Bédard-Pagé and Virginie Traclet discuss different stress-testing approaches, with emphasis on the innovative and analytically rigorous model developed by the Bank of Canada: the MacroFinancial Risk Assessment Framework (MFRAF). They also present the stress-test results obtained in the context of the 2013 Canada Financial Sector Assessment Program led by the International Monetary Fund, including the important contributions made by the use of MFRAF in the exercise.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
C,
C6,
C63,
G,
G0,
G01,
G2,
G21
June 12, 2014
Reforming Financial Benchmarks: An International Perspective
Thomas Thorn and Harri Vikstedt examine the efforts being taken internationally and in Canada to enhance the governance and integrity of financial benchmarks. The report provides an overview of how interbank interest rate benchmarks are set and describes the weaknesses in the process that were exposed by the financial crisis. It also explains recent policy developments designed to make global and Canadian interbank benchmarks more robust.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial markets,
Financial system regulation and policies,
Recent economic and financial developments
JEL Code(s):
G,
G1,
G11
June 12, 2014
Making Banks Safer: Implementing Basel III
Éric Chouinard and Graydon Paulin review the progress to date in implementing Basel III, the new framework of global regulatory standards for the banking sector developed by the Basel Committee on Banking Supervision. The report highlights the expected net benefits of implementing Basel III, as well as the challenges in ensuring international consistency in measuring the risk-weighted capital of banks. It includes a discussion on how implementing Basel III has affected the banking system in Canada and other important jurisdictions, and demonstrates the need for ongoing assessment of the effects on the financial system and the macroeconomy.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G28
Rollover Risk, Liquidity and Macroprudential Regulation
Staff Working Paper 2014-23
Toni Ahnert
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G1,
G11,
G2,
G28
Understanding the Cash Demand Puzzle
Staff Working Paper 2014-22
Janet Hua Jiang,
Enchuan Shao
We develop a model to explain a puzzling trend in cash demand in recent years: the value of bank notes in circulation as a percentage of GDP has remained stable despite decreasing cash usage at points of sale owing to competition from alternative means of payment such as credit cards.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Credit and credit aggregates,
Digital currencies and fintech
JEL Code(s):
E,
E4,
E41,
E5,
E51
Monetary Policy Transmission during Financial Crises: An Empirical Analysis
Staff Working Paper 2014-21
Tatjana Dahlhaus
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Monetary policy transmission
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E3,
E32,
E4,
E44,
G,
G0,
G01