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451
result(s)
Using Speed and Credit Limits to Address the Procyclicality of Initial Margin at Central Counterparties
Staff Discussion Paper 2016-18
Nikil Chande,
Nicholas Labelle
This paper proposes a practical approach to address the procyclicality of initial margin at central counterparties (CCPs) that can work even in periods of extreme stress. The approach allows CCPs to limit the speed of margin increases resulting from spikes in market volatility.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G18
Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility
Staff Working Paper 2016-37
Michael Ehrmann,
Jonathan Talmi
Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update the earlier text with only small changes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E5,
E52,
E58
June 9, 2016
Securities Financing and Bond Market Liquidity
This report investigates how the markets for repurchase agreements and securities-lending agreements support the liquidity of Canadian bond markets. It also discusses how recent regulatory changes, as well as low interest rates and settlement failures, are potentially affecting securities-financing markets and, as a result, bond market liquidity.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G2
Estimating Systematic Risk Under Extremely Adverse Market Conditions
Staff Working Paper 2016-22
Maarten van Oordt,
Chen Zhou
This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
G,
G0,
G01
Retail Order Flow Segmentation
Staff Working Paper 2016-20
Corey Garriott,
Adrian Walton
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders.
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
Dating Systemic Financial Stress Episodes in the EU Countries
Staff Working Paper 2016-11
Benjamin Klaus,
Tuomas Peltonen,
Thibaut Duprey
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
C,
C5,
C54,
G,
G0,
G01,
G1,
G15
A Framework in Search of an Optimal Margining Policy for Official Institutions: The Canadian Experience
Staff Discussion Paper 2016-9
Tomo Nakashima,
Mihai Cosma,
Boran Plong
One of the main outcomes of the global financial crisis has been a series of new regulations imposed on the financial system and specifically on banks.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Foreign reserves management
JEL Code(s):
G,
G3,
G32
Canadian Repo Market Ecology
Staff Discussion Paper 2016-8
Corey Garriott,
Kyle Gray
This is the first of the Financial Markets Department’s descriptions of Canadian financial industrial organization. The document discusses the organization of the repurchase-agreement (repo) market in Canada.
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
Wait a Minute: The Efficacy of Discounting versus Non-Pecuniary Payment Steering
Staff Working Paper 2016-8
Angelika Welte
Merchants who accept credit cards face payment processing fees. In most countries, the no-surcharge rule prohibits them from using surcharges to pass these fees on to customers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Market structure and pricing,
Payment clearing and settlement systems
JEL Code(s):
D,
D1,
D12,
E,
E5,
E58,
G,
G2,
G28