What Drives Interbank Loans? Evidence from Canada Staff Working Paper 2018-5 Narayan Bulusu, Pierre Guérin We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Wholesale funding JEL Code(s): C, C5, C55, E, E4, E43, G, G2, G23
October 11, 2017 Government of Canada debt securities: Gross new issues, retirements and net new issues (formerly F4 to F10) Monthly gross new issues, retirements and net new issues of securities by geography for the Government of Canada. Content Type(s): Banking and financial statistics
October 10, 2017 Historical selected credit measures (formerly E2) Inactive: Starting with reference month October 2020, the Bank of Canada no longer updates this table. Content Type(s): Banking and financial statistics
October 10, 2017 Chartered banks: Classification of deposit liabilities (formerly K12) Quarter-end data on chartered bank deposit liabilities. Content Type(s): Banking and financial statistics
January 25, 2018 Banking and Financial Statistics - January 2018 Content Type(s): Publications, Historical: Banking and Financial Statistics
Tail Risk in a Retail Payment System: An Extreme-Value Approach Staff Discussion Paper 2018-2 Héctor Pérez Saiz, Blair Williams, Gabriel Xerri The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23
Modeling Fluctuations in the Global Demand for Commodities Staff Working Paper 2018-4 Lutz Kilian, Xiaoqing Zhou It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic activity. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): F, F4, F44, Q, Q1, Q11, Q3, Q31, Q4, Q41, Q43
October 12, 2017 Historical net new issues of securities by corporations and federal government enterprises: Industrial classification (formerly K9) Inactive: Starting with reference month October 2020, the Bank of Canada no longer updates this table. Content Type(s): Banking and financial statistics