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458
result(s)
Lending Standards, Productivity and Credit Crunches
Staff Working Paper 2019-25
Jonathan Swarbrick
We propose a macroeconomic model in which adverse selection in investment drives the amplification of macroeconomic fluctuations, in line with prominent roles played by the credit crunch and collapse of the asset-backed security market in the financial crisis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial markets,
Financial stability,
Interest rates,
Productivity
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44,
G,
G0,
G01
Canadian Securities Lending Market Ecology
Staff Discussion Paper 2019-5
Jesse Johal,
Joanna Roberts,
John Sim
This is the fourth of the Financial Markets Department’s descriptions of Canadian financial industrial organization. The paper discusses the organization of the securities lending market in Canada. We outline key characteristics of securities lending contracts, participants in the securities lending market, the market infrastructures that support securities lending activities, and aggregated statistics describing the Canadian market.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G18,
G2,
G21,
G23
Systemic Risk and Collateral Adequacy
Staff Working Paper 2019-23
Radoslav Raykov
Many derivatives markets use collateral requirements calculated with industry-standard but dated methods that are not designed with systemic risk in mind. This paper explores whether the conservative nature of conventional collateral requirements outweighs their lack of consideration of systemic risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
G,
G1,
G10,
G2,
G20
Bank Market Power and Central Bank Digital Currency: Theory and Quantitative Assessment
Staff Working Paper 2019-20
Jonathan Chiu,
Mohammad Davoodalhosseini,
Janet Hua Jiang,
Yu Zhu
We show that issuing a deposit-like central bank digital currency (CBDC) with a proper interest rate would encourage banks to pay higher interest to keep their customers. Banks would then attract more deposits and offer more loans. Hence, a CBDC would not necessarily crowd out private banking.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Market structure and pricing,
Monetary policy,
Monetary policy framework
JEL Code(s):
E,
E5,
E50,
E58
Financial Distress and Hedging: Evidence from Canadian Oil Firms
Staff Discussion Paper 2019-4
Kun Mo,
Farrukh Suvankulov,
Sophie Griffiths
The paper explores the link between financial distress and the commodity price hedging behaviour of Canadian oil firms.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Firm dynamics
JEL Code(s):
G,
G3,
G32,
Q,
Q4,
Q40
Could Canadian Bond Funds Add Stress to the Financial System?
Staff Analytical Note 2019-9
Rohan Arora,
Guillaume Bédard-Pagé,
Guillaume Ouellet Leblanc,
Ryan Shotlander
We create a hypothetical scenario to study the role bond funds play in intensifying shocks to the financial system. Using data from 2018 and 2007, we find that bond funds play a larger role now than they did in the past.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23
Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach
Technical Report No. 115
Rohan Arora,
Guillaume Bédard-Pagé,
Guillaume Ouellet Leblanc,
Ryan Shotlander
This report provides a detailed technical description of a stress test model for investment funds called Ceto.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Economic models,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G12,
G14,
G2,
G20,
G23
Non-Bank Financial Intermediation in Canada: An Update
Staff Discussion Paper 2019-2
Guillaume Bédard-Pagé
Non-bank financing provides an important funding source for the economy and is a valuable alternative to traditional banking. It helps enhance the efficiency and resiliency of the financial system while giving customers more choices for their financial services. Unlike banking, it is not prudentially regulated.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G0,
G01,
G2,
G20,
G23
Do Survey Expectations of Stock Returns Reflect Risk Adjustments?
Staff Working Paper 2019-11
Klaus Adam,
Dmitry Matveev,
Stefan Nagel
Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the literature on asset pricing are consistent with the survey evidence.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Economic models,
Financial markets
JEL Code(s):
G,
G1,
G10,
G12