Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
Staff Working Paper 2012-41
Jean-Sébastien Fontaine
Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions and they do not distinguish between dates with and without scheduled announcements.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E44,
E47,
G,
G1,
G12,
G13
Consumer Interest Rates and Retail Mutual Fund Flows
Staff Working Paper 2012-39
Jesus Sierra
This paper documents a link between the real and financial sides of the economy. We find that retail equity mutual fund flows in Canada are negatively related to current and past changes in a component of the prime and 5-year mortgage rates that is uncorrelated with government rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial services,
Interest rates
JEL Code(s):
G,
G2,
G21,
G23
Liquidity and Central Clearing: Evidence from the CDS Market
Staff Working Paper 2012-38
Joshua Slive,
Jonathan Witmer,
Elizabeth Woodman
An international initiative to increase the use of central clearing for OTC derivatives emerged as one of the reactions to the 2008 financial crisis. The move to central clearing is a fundamental change in the structure of the market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G3,
G30,
G38
Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
Staff Working Paper 2012-37
Bruno Feunou,
Jean-Sébastien Fontaine
We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Inflation and prices,
Interest rates
JEL Code(s):
E,
E4,
E43,
E47,
G,
G1,
G12
The Role of Credit in International Business Cycles
Staff Working Paper 2012-36
TengTeng Xu
This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Econometric and statistical methods,
International financial markets
JEL Code(s):
C,
C3,
C32,
E,
E3,
E32,
E4,
E44,
G,
G2,
G21
When Lower Risk Increases Profit: Competition and Control of a Central Counterparty
Staff Working Paper 2012-35
Jean-Sébastien Fontaine,
Héctor Pérez Saiz,
Joshua Slive
We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G10,
G18
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
Staff Working Paper 2012-34
Peter Christoffersen,
Bruno Feunou,
Kris Jacobs,
Nour Meddahi
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
G,
G1,
G13
Financial Conditions and the Money-Output Relationship in Canada
Staff Working Paper 2012-33
Maral Kichian
We propose a drifting-coefficient model to empirically study the effect of money on output growth in Canada and to examine the role of prevailing financial conditions for that relationship. We show that such a time-varying approach can be a useful way of modelling the impact of money on growth, and can partly reconcile the lack of concensus in the literature on the question of whether money affects growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Monetary aggregates
JEL Code(s):
E,
E4,
E44,
E5,
E51
Canadian Bank Balance-Sheet Management: Breakdown by Types of Canadian Financial Institutions
Staff Discussion Paper 2012-7
David Xiao Chen,
H. Evren Damar,
Hani Soubra,
Yaz Terajima
The authors document leverage, capital and liquidity ratios of banks in Canada. These ratios are important indicators of different types of risk with respect to a bank’s balance‐sheet management. Particular attention is given to the observations by different types of banks, including small banks that historically received less attention.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28