Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Policy Coordination in an International Payment System
Staff Working Paper 2008-17
James Chapman
Given the increasing interdependence of both financial systems and attendant payment and settlement systems a vital question is what form should optimal policy take when there are two connected payment systems with separate regulators.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E58,
F,
F3,
F31,
F33
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
Staff Working Paper 2008-16
Fousseni Chabi-Yo,
Eric Ghysels,
Eric Renault
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C5,
C52,
D,
D5,
D58,
G,
G1,
G11,
G12
The Effects of a Disruption in CDSX Settlement on Activity in the LVTS: A Simulation Study
Staff Discussion Paper 2008-7
Lana Embree,
Kirby Millar
The Large Value Transfer System (LVTS) for settling large payments, and CDSX for settling debt and equity trades, are two of the main settlement systems in Canada. They are closely linked; for example, at the end of the day the final CDSX payment obligations must settle on the Bank of Canada's books, with payments made […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
E,
E5,
E58,
G,
G2,
G21
A Model of Tiered Settlement Networks
Staff Working Paper 2008-12
James Chapman,
Jonathan Chiu,
Miguel Molico
This paper develops a model of settlement system to study the endogenous structure of settlement networks, and the welfare consequences of clearing agent failure. The equilibrium degree of tiering is endogenously determined by the cost structure and the information structure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E58,
G,
G2,
G21
An Examination of Canadian Firms Delisting from U.S. Exchanges
Staff Working Paper 2008-11
Jonathan Witmer
This paper examines Canadian and other foreign firms that have been involuntarily delisted from major U.S. exchanges. I find that, for most countries, less than 10% of firms get delisted from a U.S. exchange during my sample period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G3,
G30,
G38
Credit, Asset Prices, and Financial Stress in Canada
Staff Working Paper 2008-10
Miroslav Misina,
Greg Tkacz
Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The question is whether some combination of measures of credit and asset prices can be used to predict these events.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability
JEL Code(s):
E,
E5,
G,
G1,
G10
A Model of Housing Boom and Bust in a Small Open Economy
Staff Working Paper 2008-9
Hajime Tomura
This paper considers a dynamic stochastic general equilibrium model for a small open economy and finds that an improvement in the terms of trade causes a housing boom-bust cycle if the duration of the improvement is uncertain.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates
JEL Code(s):
E,
E4,
E44,
F,
F4,
F41
Unsecured Debt, Consumer Bankruptcy, and Small Business
Staff Working Paper 2008-5
Césaire Meh,
Yaz Terajima
In this paper we develop a quantitative model of entrepreneurial activity (risk-taking) and consumer bankruptcy choices and use the model to study the effects of bankruptcy regulations on entrepreneurial activity, bankruptcy rate and welfare.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D3,
D31,
E,
E2,
E21,
J,
J2,
J23
The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen
Staff Discussion Paper 2008-2
Corinne Luu
In this paper, the author considers whether fundamentals or other factors can explain the yen's ongoing weakness. In particular, the importance of capital outflows due to the carry trade and longer-term portfolio investment outflows, which may be delaying the adjustment of the yen, are investigated. A simple portfolio model is developed, composed of a speculative […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Exchange rates,
International topics,
Recent economic and financial developments
JEL Code(s):
F,
F2,
F21,
F3,
F31,
F32,
G,
G1,
G11