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2441 result(s)

Rollover Risk and the Maturity Transformation Function of Banks

Staff Working Paper 2014-8 Teodora Paligorova, João Santos
This paper shows that banks that rely heavily on short-term funding engage less in maturity transformation in an attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well as the maturity of newly issued loans. We find that the loan yield curve becomes steeper with banks’ increasing use of short-term funding.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability JEL Code(s): G, G2, G21

Database of Sovereign Defaults, 2017

Technical Report No. 101 David Beers, Jamshid Mavalwalla
Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website.

Banks’ Financial Distress, Lending Supply and Consumption Expenditure

Staff Working Paper 2014-7 H. Evren Damar, Reint Gropp, Adi Mordel
The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures.

A Policy Model to Analyze Macroprudential Regulations and Monetary Policy

Staff Working Paper 2014-6 Sami Alpanda, Gino Cateau, Césaire Meh
We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features.
Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial system regulation and policies JEL Code(s): E, E1, E17, E3, E32, E4, E44, F, F4, F41

Corporate Governance, Product Market Competition and Debt Financing

Staff Working Paper 2014-5 Teodora Paligorova, Jun Yang
This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more anti-takeover provisions are associated with a lower cost of debt only in competitive industries.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G12, G3, G34

Technology Shocks, Labour Mobility and Aggregate Fluctuations

Staff Working Paper 2014-4 Daniela Hauser
We provide evidence regarding the dynamic behaviour of net labour flows across U.S. states in response to a positive technology shock. Technology shocks are identified as disturbances that increase relative state productivity in the long run for 226 state pairs, encompassing 80 per cent of labour flows across U.S. states in the 1976 - 2008 period.
Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Labour markets JEL Code(s): E, E2, E24, E3, E32, J, J6, J61

Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy

Staff Working Paper 2014-3 Sermin Gungor, Jesus Sierra
This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds’ risk exposure in response to monetary policy.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Monetary policy transmission JEL Code(s): E, E5, E52, G, G2, G23

It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match

Staff Working Paper 2014-2 Michael Ehrmann, David-Jan Jansen
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): G, G0, G02, G1, G12, G14, G15

Household Risk Management and Actual Mortgage Choice in the Euro Area

Staff Working Paper 2014-1 Michael Ehrmann, Michael Ziegelmeyer
Mortgages constitute the largest part of household debt. An essential choice when taking out a mortgage is between fixed-interest-rate mortgages (FRMs) and adjustable-interest-rate mortgages (ARMs). However, so far, no comprehensive cross‐country study has analyzed what determines household demand for mortgage types, a task that this paper takes up using new data for the euro area.
Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Monetary policy transmission JEL Code(s): D, D1, D12, E, E4, E43, E5, E52, G, G2, G21

Cash Management and Payment Choices: A Simulation Model with International Comparisons

Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size.
Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Financial services, International topics JEL Code(s): C, C6, C61, E, E4, E41, E47
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