Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities
Staff Analytical Note 2018-6
Thibaut Duprey
When financial system vulnerabilities are elevated, they can give rise to asymmetric risks to the economic outlook. To illustrate this, I consider the economic outlook presented in the Bank of Canada’s October 2017 Monetary Policy Report in the context of two key financial system vulnerabilities: high levels of household indebtedness and housing market imbalances.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Financial stability,
Financial system regulation and policies,
Monetary and financial indicators,
Monetary policy and uncertainty,
Recent economic and financial developments
JEL Code(s):
C,
C0,
C01,
C1,
C11,
C15,
E,
E1,
E17,
E3,
E32,
E37,
E4,
E44,
E47,
E5,
E58,
E6,
E66,
G,
G0,
G01,
G1,
G18
Blockchain Revolution Without the Blockchain
Staff Analytical Note 2018-5
Hanna Halaburda
The technology behind blockchain has attracted a lot of attention. However, this technology is for the most part not well understood. There is no consensus on what benefits it may bring or on how it may fail.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Digital currencies and fintech,
Recent economic and financial developments,
Service sector
JEL Code(s):
D,
D8,
G,
G2,
O,
O3,
O33
Is the Excess Bond Premium a Leading Indicator of Canadian Economic Activity?
Staff Analytical Note 2018-4
Maxime Leboeuf,
Daniel Hyun
This note investigates whether Canadian corporate spreads and the excess bond premium (EBP) lead Canadian economic activity. Indeed, we find that corporate spreads precede changes in real gross domestic product (GDP) in Canada over the subsequent year. The EBP accounts for most of this property. Further, an unanticipated increase in the Canadian EBP forecasts a deterioration of domestic macroeconomic conditions: a 10-basis-point increase results in a fall in both GDP and consumer price index (CPI) of 0.4 per cent and 0.1 per cent, respectively, over three years.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Financial markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G1,
G12
The “Too Big to Fail” Subsidy in Canada: Some Estimates
Staff Working Paper 2018-9
Patricia Palhau Mora
Implicit government guarantees of banking-sector liabilities reduce market discipline by private sector stakeholders and temper the risk sensitivity of funding costs. This potentially increases the likelihood of bailouts from taxpayers, especially in the absence of effective resolution frameworks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G1,
G13,
G2,
G21,
G28
High-Frequency Trading and Institutional Trading Costs
Staff Working Paper 2018-8
Marie Chen,
Corey Garriott
Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy.
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
Adverse Selection with Heterogeneously Informed Agents
Staff Working Paper 2018-7
Mohammad Davoodalhosseini
A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high quality assets. Heterogeneous sellers with private information choose what type of buyers they want to trade with.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D4,
D40,
D8,
D82,
D83,
G,
G0,
G01,
G1,
G10,
G2,
G20
Home Equity Extraction and the Boom-Bust Cycle in Consumption and Residential Investment
Staff Working Paper 2018-6
Xiaoqing Zhou
The consumption boom-bust cycle in the 2000s coincided with large fluctuations in the volume of home equity borrowing. Contrary to conventional wisdom, I show that homeowners largely borrowed for residential investment and not consumption.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Economic models,
Housing
JEL Code(s):
D,
D1,
E,
E2,
E3
Government of Canada Securities in the Cash, Repo and Securities Lending Markets
Staff Discussion Paper 2018-4
Narayan Bulusu,
Sermin Gungor
This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Wholesale funding
JEL Code(s):
G,
G1,
G12,
G2,
G21,
G23
What Drives Interbank Loans? Evidence from Canada
Staff Working Paper 2018-5
Narayan Bulusu,
Pierre Guérin
We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Wholesale funding
JEL Code(s):
C,
C5,
C55,
E,
E4,
E43,
G,
G2,
G23