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2401
result(s)
December 14, 2009
Liquidity Standards in a Macroprudential Context
Content Type(s):
Publications,
Financial System Review articles
December 14, 2009
Reform of Securitization
Content Type(s):
Publications,
Financial System Review articles
Regulatory Constraints on Bank Leverage: Issues and Lessons from the Canadian Experience
Staff Discussion Paper 2009-15
Étienne Bordeleau,
Allan Crawford,
Christopher Graham
The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements to the riskiness of its assets. Nevertheless, the risk estimates underlying these calculations may be imperfect, and it appears that a cyclical bias in measures of risk-adjusted capital contributed to procyclical increases in global leverage prior to the recent financial crisis.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28
Market Timing of Long-Term Debt Issuance
Staff Discussion Paper 2009-14
Jonathan Witmer
The literature on market timing of long-term debt issuance yields mixed evidence that managers can successfully time their debt-maturity issuance. The early results that are indicative of debt-maturity timing are not robust to accounting for structural breaks or to other measures of debt maturity from firm-level data that account for call and put provisions in […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G30,
G38
Network Analysis and Canada's Large Value Transfer System
Staff Discussion Paper 2009-13
Lana Embree,
Tom Roberts
Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
D,
D8,
D85,
G,
G1,
G10
Optimal Monetary Policy during Endogenous Housing-Market Boom-Bust Cycles
Staff Working Paper 2009-32
Hajime Tomura
This paper uses a small-open economy model for the Canadian economy to examine the optimal Taylor-type monetary policy rule that stabilizes output and inflation in an environment where endogenous boom-bust cycles in house prices can occur.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Inflation targets
JEL Code(s):
E,
E4,
E44,
E5,
E52
Real Time Detection of Structural Breaks in GARCH Models
Staff Working Paper 2009-31
Zhongfang He,
John M. Maheu
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C11,
C15,
C2,
C22,
C5,
C53