December 20, 2017 Chartered banks: Regional distribution of selected assets (formerly C5) Quarter-end data on chartered bank assets by provinces and territories.
Who Pays? CCP Resource Provision in the Post-Pittsburgh World Staff Discussion Paper 2017-17 Jorge Cruz Lopez, Mark Manning At the Pittsburgh Summit in 2009, G20 countries announced their commitment to clear all standardized over-the-counter (OTC) derivatives through central counterparties (CCPs). Since then, CCPs have become increasingly important and there has been an extensive program of regulatory enhancements to both them and OTC derivatives markets. Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): G, G0, G01, G2, G28
Which Model to Forecast the Target Rate? Staff Working Paper 2017-60 Bruno Feunou, Jean-Sébastien Fontaine, Jianjian Jin Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43
Credit Risk Transfer and Bank Insolvency Risk Staff Working Paper 2017-59 Maarten van Oordt The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position. Content Type(s): Staff research, Staff working papers Topic(s): Credit risk management, Financial institutions, Financial stability JEL Code(s): G, G2, G21, G28, G3, G32
Variance Premium, Downside Risk and Expected Stock Returns Staff Working Paper 2017-58 Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tedongap, Lai Xi We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets JEL Code(s): G, G1, G12
Credit Crunches from Occasionally Binding Bank Borrowing Constraints Staff Working Paper 2017-57 Tom D. Holden, Paul Levine, Jonathan Swarbrick We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets JEL Code(s): E, E2, E22, E3, E32, E5, E51, G, G2