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451
result(s)
What Explains Month-End Funding Pressure in Canada?
Staff Discussion Paper 2017-9
Christopher S. Sutherland
The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Interest rates,
Monetary policy framework,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E41,
E43,
E5,
E52,
E58,
F,
F3,
F36,
G,
G1,
G14,
G15,
G2,
G21
June 8, 2017
Using Market-Based Indicators to Assess Banking System Resilience
This report reviews the use of quantitative tools to gauge market participants’ assessment of banking system resilience. These measures complement traditional balance-sheet metrics and suggest that markets consider large Canadian banks to be better placed to weather adverse shocks than banks in other advanced economies. Compared with regulatory capital ratios, however, the measures suggest less improvement in banking system resilience since the pre-crisis period.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G10,
G2,
G21
May 11, 2017
The Life Cycle of Government of Canada Bonds in Core Funding Markets
Data on the use of government securities in the repo, securities lending and cash markets suggest there are bond market clienteles in Canada. Shorter-term bonds are more prevalent in the repo market, while longer-maturity securities are more active in the securities lending market—consistent with the preferred habitat hypothesis. These results could help design better debt-management strategies and more-effective policies to maintain well-functioning financial markets.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Financial markets
JEL Code(s):
G,
G1,
G12,
G2,
G23
May 11, 2017
Wholesale Funding of the Big Six Canadian Banks
The Big Six Canadian banks are a dominant component of the Canadian financial system. How they finance their business activities is fundamental to how effective they are. Retail and commercial deposits along with wholesale funding represent the two major sources of funds for Canadian banks. What wholesale funding instruments do the Big Six banks use? How do they choose between different funding sources, funding strategies and why? How have banks changed their funding mix since the 2007–09 global financial crisis?
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing,
Wholesale funding
JEL Code(s):
E,
E4,
E44,
F,
F3,
G,
G0,
G01,
G1,
G10,
G12,
G15,
G2,
G20,
G21,
G28,
O,
O1,
O16
Constrained Efficiency with Adverse Selection and Directed Search
Staff Working Paper 2017-15
Mohammad Davoodalhosseini
Constrained efficient allocation (CE) is characterized in a model of adverse selection and directed search (Guerrieri, Shimer, and Wright (2010)). CE is defined to be the allocation that maximizes welfare, the ex-ante utility of all agents, subject to the frictions of the environment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D8,
D82,
D83,
E,
E2,
E24,
G,
G1,
J,
J3,
J31,
J6,
J64
Strategic Complementarities and Money Market Fund Liquidity Management
Staff Working Paper 2017-14
Jonathan Witmer
Following the financial crisis, there has been increased regulatory focus on the management of liquidity in mutual funds and, specifically, whether funds hold enough liquidity to guard against the potential for investor runs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
F,
F3,
F30,
G,
G0,
G01,
G1,
G18,
G2,
G20
What Explains the Recent Increase in Canadian Corporate Bond Spreads
Staff Analytical Note 2017-2
Maxime Leboeuf,
James Pinnington
The spread between the yield of a corporate bond and the yield of a similar Government of Canada bond reflects compensation for possible default by the issuing firm and compensation for additional risks beyond default.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12
Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects
Staff Working Paper 2017-10
Sermin Gungor,
Richard Luger
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C3,
C32,
G,
G1,
G14
Banking Regulation and Market Making
Staff Working Paper 2017-7
David Cimon,
Corey Garriott
We model how securities dealers respond to regulations on leverage, position and liquidity such as those imposed by the Basel III framework. We show that while asset prices exhibit greater price impact, bid-ask spreads do not change and trading volumes may even increase.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1,
L10