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2360
result(s)
The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies
Staff Working Paper 2016-38
Gregory Bauer,
Gurnain Pasricha,
Rodrigo Sekkel,
Yaz Terajima
This paper analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open economies such as Canada. The paper starts by summarizing recent work on financial cycles and their growing correlation across borders.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Housing,
International financial markets,
Monetary policy framework
JEL Code(s):
E,
E4,
E42,
E43,
E44,
E5,
E52,
F,
F4,
F41
Credit Risk and Collateral Demand in a Retail Payment System
Staff Discussion Paper 2016-16
Héctor Pérez Saiz,
Gabriel Xerri
The recent financial crisis has led to the development of new regulations to control risk in designated payment systems, and the implementation of new credit risk management standards is one of the key issues. In this paper, we study various credit risk management schemes for the Canadian retail payment system (ACSS) that are designed to cover the exposure of a defaulting member.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C5,
C58,
G,
G2,
G21,
G23
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
Output Comovement and Inflation Dynamics in a Two-Sector Model with Durable Goods: The Role of Sticky Information and Heterogeneous Factor Markets
Staff Working Paper 2016-36
Tomiyuki Kitamura,
Tamon Takamura
In a simple two-sector New Keynesian model, sticky prices generate a counterfactual negative comovement between the output of durable and nondurable goods following a monetary policy shock. We show that heterogeneous factor markets allow any combination of strictly positive price stickiness to generate positive output comovement.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E32,
E5,
E52
Time-Varying Crash Risk: The Role of Stock Market Liquidity
Staff Working Paper 2016-35
Peter Christoffersen,
Bruno Feunou,
Yoontae Jeon,
Chayawat Ornthanalai
We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G12
International Banking and Cross-Border Effects of Regulation: Lessons from Canada
Staff Working Paper 2016-34
H. Evren Damar,
Adi Mordel
We study how changes in prudential requirements affect cross-border lending of Canadian banks by utilizing an index that aggregates adjustments in key regulatory instruments across jurisdictions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
F,
F3,
F34,
G,
G0,
G01,
G2,
G21
Relationships in the Interbank Market
Staff Working Paper 2016-33
Jonathan Chiu,
Cyril Monnet
In the interbank market, banks will sometimes trade below the central bank's deposit rate. We explain this anomaly using a theory based on market frictions and relationship lending.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E5
The Role of Central Banks in Promoting Financial Stability: An International Perspective
Staff Discussion Paper 2016-15
Rose Cunningham,
Christian Friedrich
The 2007–09 global financial crisis has led policy-makers around the world, including central banks, to refocus their efforts to promote financial stability. As part of this process, central banks became quite active in supporting financial stability in a variety of ways, such as publicly sharing their assessments of financial system vulnerabilities and risks and helping to strengthen regulation, supervision and macroprudential measures.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
E,
E5,
G,
G0,
G01,
G2,
G28
Low for Longer? Why the Global Oil Market in 2014 Is Not Like 1986
Staff Analytical Note 2016-11
Bahattin Buyuksahin,
Reinhard Ellwanger,
Kun Mo,
Konrad Zmitrowicz
In the second half of 2014, oil prices experienced a sharp decline, falling more than 50 per cent between June 2014 and January 2015. A cursory glance at this oil price crash suggests similarities to developments in 1986, when the price of oil declined by more than 50 per cent, initiating an episode of relatively low oil prices that lasted for more than a decade.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
International topics,
Recent economic and financial developments
JEL Code(s):
E,
E3,
Q,
Q4,
Q41,
Q43