March 16, 2008 Developing a Framework to Assess Financial Stability: Conference Highlights and Lessons Bank of Canada Review - Spring 2008 Olivier de Bandt, Céline Gauthier, Pierre St-Amant Central banks are still defining their approach to financial stability and are at an early stage in the development of useful models. The Bank of Canada's 2007 economic conference was organized to stimulate progress in the development of financial-stability frameworks. Among the highlights reported here are the discussions centred around three proposed frameworks: a contingent-claims-analysis framework, a semi-structural framework, and structural financial-stability models. Participants also reported on their experiences with stress-testing under the International Monetary Fund's Financial Sector Assessment Program and discussed the implications for financial stability of linkages among payment, clearing, and settlement systems. Content Type(s): Publications, Bank of Canada Review articles
Time-Varying Crash Risk: The Role of Stock Market Liquidity Staff working paper 2016-35 Peter Christoffersen, Bruno Feunou, Yoontae Jeon, Chayawat Ornthanalai We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
June 21, 2008 Family Values: Ownership Structure, Performance, and Capital Structure of Canadian Firms Financial System Review - June 2008 Michael R. King, Eric Santor Content Type(s): Publications, Financial System Review articles
The increasing role of hedge funds in Government of Canada bond auctions Staff analytical note 2025-22 Adam Epp, Jeffrey Gao We find that the rise in Government of Canada debt issuance correlates to growing participation of hedge funds in bond auctions since 2020. This increased participation supports the cost-effective distribution of Canada’s debt, but it also represents a potential vulnerability because hedge funds have a greater flight risk than other investor types. Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D4, D44, G, G1, G12, G2, G23, H, H6, H63 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
Fiscal Stimulus and Skill Accumulation over the Life Cycle Staff working paper 2023-9 Laure Simon Using micro data from the U.S. Consumer Expenditure Survey and Current Population Survey, I document that government spending shocks affect individuals differently over the life cycle. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D1, D12, D15, E, E2, E21, E6, E62, J, J1, J11, J2, J24 Research Theme(s): Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
February 1, 2012 Transparency in the Canadian Fixed-Income Market: Opportunities and Constraints Financial System Review - December 2003 Tran-Minh Vu Content Type(s): Publications, Financial System Review articles
A Reference Guide for the Business Outlook Survey Staff discussion paper 2020-15 David Amirault, Naveen Rai, Laurent Martin The Business Outlook Survey (BOS) has become an important part of monetary policy deliberations at the Bank of Canada and is also well known in Canadian policy and financial circles. This paper compiles more than 20 years of experience conducting the BOS and serves as a comprehensive reference manual. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C8, C83, D, D2, D22, E, E3, E32 Research Theme(s): Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
Decomposing Systemic Risk: The Roles of Contagion and Common Exposures Staff working paper 2024-19 Grzegorz Halaj, Ruben Hipp We examine systemic risks within the Canadian banking sector, decomposing them into three contribution channels: contagion, common exposures, and idiosyncratic risk. Through a structural model, we dissect how interbank relationships and market conditions contribute to systemic risk, providing new insights for financial stability. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, C5, C51, G, G2, G21, L, L1, L14 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Economic models
Inflation Targeting and Liquidity Traps Under Endogenous Credibility Staff working paper 2019-9 Cars Hommes, Joep Lustenhouwer Policy implications are derived for an inflation-targeting central bank, whose credibility is endogenous and depends on its past ability to achieve its targets. This is done in a New Keynesian framework with heterogeneous and boundedly rational expectations. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C62, E, E3, E32, E5, E52 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
December 9, 2010 Central Counterparties and Systemic Risk Financial System Review - December 2010 Eric Tuer, Nicholas Labelle, Nikil Chande Content Type(s): Publications, Financial System Review articles