Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
A Bitcoin Standard: Lessons from the Gold Standard
Staff Working Paper 2016-14
Warren E. Weber
This paper imagines a world in which countries are on the Bitcoin standard, a monetary system in which all media of exchange are Bitcoin or are backed by it. The paper explores the similarities and differences between the Bitcoin standard and the gold standard and describes the media of exchange that would exist under the Bitcoin standard.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Digital currencies and fintech,
Exchange rates,
Financial services,
Inflation and prices
JEL Code(s):
E,
E4,
E41,
E42,
E5,
E58
Dating Systemic Financial Stress Episodes in the EU Countries
Staff Working Paper 2016-11
Benjamin Klaus,
Tuomas Peltonen,
Thibaut Duprey
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
C,
C5,
C54,
G,
G0,
G01,
G1,
G15
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
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
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
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
To Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse
Staff Working Paper 2016-4
Radoslav Raykov
This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms – variation margin haircutting and cash calls – and study the privately and socially optimal degree of loss sharing.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G19,
G2,
G21
Limits to Arbitrage and Deviations from Covered Interest Rate Parity
Staff Discussion Paper 2016-4
James Pinnington,
Maral Shamloo
We document an increase in deviations from short-term covered interest rate parity (CIP) in the first half of 2015. Since the Swiss National Bank’s (SNB) decision to abandon its minimum exchange rate policy, both the magnitude and volatility of deviations from CIP have increased across several currency pairs. The effect is particularly pronounced for pairs involving the Swiss franc.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Exchange rates,
International financial markets
JEL Code(s):
F,
F3,
F31,
G,
G1,
G15