Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Has Liquidity in Canadian Government Bond Markets Deteriorated?
Staff Analytical Note 2017-10
Sermin Gungor,
Jun Yang
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
How to Predict Financial Stress? An Assessment of Markov Switching Models
Staff Working Paper 2017-32
Benjamin Klaus,
Thibaut Duprey
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Financial markets,
Financial stability,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
C,
C5,
C54,
G,
G0,
G01,
G1,
G15
Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data
Staff Working Paper 2017-30
Jose Fique
In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
C,
C6,
C63,
D,
D8,
D85,
G,
G2,
G21
Information Contagion and Systemic Risk
Staff Working Paper 2017-29
Co-Pierre Georg,
Toni Ahnert
We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G11,
G2,
G21
Fintech: Is This Time Different? A Framework for Assessing Risks and Opportunities for Central Banks
Staff Discussion Paper 2017-10
Meyer Aaron,
Francisco Rivadeneyra,
Samantha Sohal
We investigate the risks and opportunities to the mandates of central banks arising from fintech developments.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Digital currencies and fintech,
Financial institutions,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
G,
G1,
G2,
L,
L1
Adoption of a New Payment Method: Theory and Experimental Evidence
Staff Working Paper 2017-28
Jasmina Arifovic,
John Duffy,
Janet Hua Jiang
We model the introduction of a new payment method, e.g., e-money, that competes with an existing payment method, e.g., cash. The new payment method involves relatively lower per-transaction costs for both buyers and sellers, but sellers must pay a fixed fee to accept the new payment method.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Digital currencies and fintech
JEL Code(s):
C,
C3,
C35,
C8,
C83,
C9,
C92,
E,
E4,
E41
Quantitative Easing and Long‐Term Yields in Small Open Economies
Staff Working Paper 2017-26
Antonio Diez de los Rios,
Maral Shamloo
We compare the Federal Reserve’s asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates,
Monetary policy
JEL Code(s):
E,
E4,
E43,
E5,
E52,
E58,
G,
G1,
G12
Monetary Policy Implementation in a Negative Rate Environment
Staff Working Paper 2017-25
Michael Boutros,
Jonathan Witmer
Monetary policy implementation could, in theory, be constrained by deeply negative rates since overnight market participants may have an incentive to invest in cash rather than lend to other participants.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates,
Monetary policy framework,
Monetary policy implementation
JEL Code(s):
E,
E4,
E40,
E42,
E43,
G,
G0
What Explains Month-End Funding Pressure in Canada?
Staff Discussion Paper 2017-9
Christopher S. Sutherland
The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Interest rates,
Monetary policy framework,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E41,
E43,
E5,
E52,
E58,
F,
F3,
F36,
G,
G1,
G14,
G15,
G2,
G21