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2400
result(s)
Funding Advantage and Market Discipline in the Canadian Banking Sector
Staff Working Paper 2013-50
Mehdi Beyhaghi,
Chris D'Souza,
Gordon S. Roberts
We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Interest rates
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28,
G3,
G32,
G33
A Distributional Approach to Realized Volatility
Staff Working Paper 2013-49
Selma Chaker,
Nour Meddahi
This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58
Volatility Forecasting when the Noise Variance Is Time-Varying
Staff Working Paper 2013-48
Selma Chaker,
Nour Meddahi
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58
CoMargin
Staff Working Paper 2013-47
Jorge Cruz Lopez,
Jeffrey H. Harris,
Christophe Hurlin,
Christophe Pérignon
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G13
Heterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree Attainment
Staff Working Paper 2013-46
Mai Seki
Existing studies on the returns to college selectivity have mixed results, mainly due to the difficulty of controlling for selection into more-selective colleges based on unobserved ability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
C,
C3,
C30,
I,
I2,
I21
Lessons from the Financial Crisis: Bank Performance and Regulatory Reform
Staff Discussion Paper 2013-4
Neville Arjani,
Graydon Paulin
The financial systems of some countries fared materially better than others during the global financial crisis of 2007-09.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
Expansion of Higher Education, Employment and Wages: Evidence from the Russian Transition
Staff Working Paper 2013-45
Natalia Kyui
This paper analyzes the effects of an educational system expansion on labour market outcomes, drawing upon a 15-year natural experiment in the Russian Federation. Regional increases in student intake capacities in Russian universities, a result of educational reforms, provide a plausibly exogenous variation in access to higher education.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Labour markets
JEL Code(s):
I,
I2,
I20,
J,
J2,
J24
December 10, 2013
Assessing the Systemic Importance of Financial Institutions
Content Type(s):
Publications,
Financial System Review articles