Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Liquidity Transformation and Bank Capital Requirements
Staff Working Paper 2010-22
Hajime Tomura
This paper presents a dynamic general equilibrium model where asymmetric information about asset quality leads to asset illiquidity. Banking arises endogenously in this environment as banks can pool illiquid assets to average out their idiosyncratic qualities and issue liquid liabilities backed by pooled assets whose total quality is public information.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D82,
E,
E4,
E44,
G,
G2,
G21
Identifying Asymmetric Comovements of International Stock Market Returns
Staff Working Paper 2010-21
Fuchun Li
Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability,
Financial system regulation and policies,
International topics
JEL Code(s):
C,
C4,
C49,
F,
F2,
F21,
G,
G1,
G15,
G19
Asset-Liability Management: An Overview
Staff Discussion Paper 2010-10
Yuliya Romanyuk
Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA).
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Foreign reserves management
JEL Code(s):
G,
G1,
G11
An Assessment of the Bank of Canada's Term PRA Facility
Staff Working Paper 2010-20
Emanuella Enenajor,
Alex Sebastian,
Jonathan Witmer
This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
E,
E5,
E58,
G,
G1,
G12,
G18
A Model of Housing Stock for Canada
Staff Working Paper 2010-19
David Dupuis,
Yi Zheng
Using an error-correction model (ECM) framework, the authors attempt to quantify the degree of disequilibrium in Canadian housing stock over the period 1961–2008 for the national aggregate and over 1981–2008 for the provinces.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components
JEL Code(s):
E,
E2,
E21,
J,
J0,
J00
International Capital Flows and Bond Risk Premia
Staff Working Paper 2010-14
Jesus Sierra
This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008.
Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data
Staff Working Paper 2010-13
James Chapman,
Nellie Zhang
In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C1,
C11,
D,
D8,
D85,
G,
G2,
G20
Financial Stress, Monetary Policy, and Economic Activity
Staff Working Paper 2010-12
Fuchun Li,
Pierre St-Amant
This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Monetary policy and uncertainty
JEL Code(s):
C,
C0,
C01,
E,
E5,
E50,
G,
G0,
G01
Idiosyncratic Coskewness and Equity Return Anomalies
Staff Working Paper 2010-11
Fousseni Chabi-Yo,
Jun Yang
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets
JEL Code(s):
G,
G1,
G11,
G12,
G14,
G3,
G33