Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Tail Risk in a Retail Payment System: An Extreme-Value Approach
Staff Discussion Paper 2018-2
Héctor Pérez Saiz,
Blair Williams,
Gabriel Xerri
The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015.
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
Speed Segmentation on Exchanges: Competition for Slow Flow
Staff Working Paper 2018-3
Lisa Anderson,
Emad Andrews,
Baiju Devani,
Michael Mueller,
Adrian Walton
In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G24
How Do Central Bank Projections and Forward Guidance Influence Private-Sector Forecasts?
Staff Working Paper 2018-2
Monica Jain,
Christopher S. Sutherland
We construct a 23-country panel data set to consider the effect of central bank projections and forward guidance on private-sector forecast disagreement. We find that central bank projections and forward guidance matter mainly for private-sector forecast disagreement surrounding upcoming policy rate decisions and matter less for private-sector macroeconomic forecasts.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Inflation targets,
Monetary policy,
Monetary policy communications,
Monetary policy transmission
JEL Code(s):
D,
D8,
D83,
E,
E3,
E37,
E5,
E52,
E58
Merchant Acceptance of Cash and Credit Cards at the Point of Sale
Staff Analytical Note 2018-1
Ben Fung,
Kim Huynh,
Kerry Nield,
Angelika Welte
Recent data show that the use of credit cards in Canada has been increasing, while the use of cash has been declining. At the same time, only two-thirds of small or medium-sized businesses accept credit cards.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Bank notes,
Digital currencies and fintech,
Econometric and statistical methods,
Financial services
JEL Code(s):
C,
C2,
D,
D1,
E,
E4,
E41
Who Pays? CCP Resource Provision in the Post-Pittsburgh World
Staff Discussion Paper 2017-17
Jorge Cruz Lopez,
Mark Manning
At the Pittsburgh Summit in 2009, G20 countries announced their commitment to clear all standardized over-the-counter (OTC) derivatives through central counterparties (CCPs). Since then, CCPs have become increasingly important and there has been an extensive program of regulatory enhancements to both them and OTC derivatives markets.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G28
Which Model to Forecast the Target Rate?
Staff Working Paper 2017-60
Bruno Feunou,
Jean-Sébastien Fontaine,
Jianjian Jin
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43
Credit Risk Transfer and Bank Insolvency Risk
Staff Working Paper 2017-59
Maarten van Oordt
The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit risk management,
Financial institutions,
Financial stability
JEL Code(s):
G,
G2,
G21,
G28,
G3,
G32
Variance Premium, Downside Risk and Expected Stock Returns
Staff Working Paper 2017-58
Bruno Feunou,
Ricardo Lopez Aliouchkin,
Roméo Tedongap,
Lai Xi
We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets
JEL Code(s):
G,
G1,
G12
Credit Crunches from Occasionally Binding Bank Borrowing Constraints
Staff Working Paper 2017-57
Tom D. Holden,
Paul Levine,
Jonathan Swarbrick
We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Economic models,
Financial markets
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E5,
E51,
G,
G2