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2360
result(s)
Measuring Systemic Risk Across Financial Market Infrastructures
Staff Working Paper 2016-10
Fuchun Li,
Héctor Pérez Saiz
We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C5,
C58,
G,
G2,
G21,
G23
Predictive Ability of Commodity Prices for the Canadian Dollar
Staff Analytical Note 2016-2
Kimberly Berg,
Pierre Guérin,
Yuko Imura
Recent sharp declines in commodity prices and the simultaneous depreciation of the Canadian dollar (CAD) relative to the U.S. dollar (USD) have rekindled an interest in the relationship between commodity prices and the CAD-USD exchange rate.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Econometric and statistical methods,
Exchange rates
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
The Dynamics of Capital Flow Episodes
Staff Working Paper 2016-9
Christian Friedrich,
Pierre Guérin
This paper proposes a novel methodology for identifying episodes of strong capital flows based on a regime-switching model. In comparison with the existing literature, a key advantage of our methodology is to estimate capital flow regimes without the need for context- and sample-specific assumptions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International financial markets,
International topics,
Monetary policy and uncertainty
JEL Code(s):
F,
F2,
F21,
F3,
F32,
G,
G1,
G11
The Evolution of the Chinese Housing Market and Its Impact on Base Metal Prices
Staff Discussion Paper 2016-7
Mark Kruger,
Kun Mo,
Benjamin Sawatzky
The Chinese housing market has grown rapidly following its liberalization in the 1990s, generating significant economic activity and demand for base metals. In this paper, we discuss the evolution of the Chinese housing market and quantify its importance for the overall Chinese economy and its linkages to base metal prices.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
International topics
JEL Code(s):
Q,
Q3,
Q31,
R,
R3,
R31
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
Understanding Firms’ Inflation Expectations Using the Bank of Canada’s Business Outlook Survey
Staff Working Paper 2016-7
Simon Richards,
Matthieu Verstraete
Inflation expectations are a key determinant of actual and future inflation and thus matter for the conduct of monetary policy. We study how firms form their inflation expectations using quarterly firm-level data from the Bank of Canada’s Business Outlook Survey, spanning the 2001 to 2015 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Credibility,
Econometric and statistical methods,
Firm dynamics,
Inflation and prices,
Inflation targets,
Monetary policy framework
JEL Code(s):
C,
C1,
C2,
C25,
D,
D2,
D21,
D8,
D84,
E,
E3,
E31,
E5,
E52,
E58
A Microfounded Design of Interconnectedness-Based Macroprudential Policy
Staff Working Paper 2016-6
Jose Fique
To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D82,
D85,
G,
G2,
G21,
G28