Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads Staff Working Paper 2012-27 Hui Chen, Yu Xu, Jun Yang We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of credit spreads. Our model allows for time variation and lumpiness in the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity raises the costs of financing. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Debt management JEL Code(s): G, G3, G32, G33
Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne Staff Working Paper 1998-21 René Lalonde, Jennifer Page, Pierre St-Amant This study introduces a new method for identifying the output gap, based on the estimation of multivariate autoregression (VAR) models. This approach, which involves using restrictions to identify structural shocks that have only a transitory effect on output but that affect the trend inflation rate, is compared with the decomposition method proposed by Blanchard and […] Content Type(s): Staff research, Staff working papers
Canadian Bank Balance-Sheet Management: Breakdown by Types of Canadian Financial Institutions Staff Discussion Paper 2012-7 David Xiao Chen, H. Evren Damar, Hani Soubra, Yaz Terajima The authors document leverage, capital and liquidity ratios of banks in Canada. These ratios are important indicators of different types of risk with respect to a bank’s balance‐sheet management. Particular attention is given to the observations by different types of banks, including small banks that historically received less attention. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms Staff Working Paper 2019-26 Rodney J. Garratt Liquidity demands in real-time gross settlement payment systems can be enormous. To reduce the liquidity requirement, central banks around the world have implemented liquidity savings mechanisms (LSMs). Content Type(s): Staff research, Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): C, C7, C72, E, E5, E58
June 8, 2015 Panel remarks for round table discussion at the 21st Conference of Montréal Remarks Carolyn A. Wilkins 21st Conference of Montréal: International Economic Forum of the Americas Montréal, Quebec Introduction Thank you for the invitation to be here today. I’m honoured to be part of this panel. It’s been more than seven years since the global financial crisis began, and we’re still coping with its aftermath. One of the consequences of the crisis has been a disruption of financial globalization. Global capital flows—to give […] Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Credit risk management, Financial markets, Financial stability, Financial system regulation and policies, International financial markets, International topics
Do Peer Group Members Outperform Individual Borrowers? A Test of Peer Group Lending Using Canadian Micro-Credit Data Staff Working Paper 2003-33 Rafael Gomez, Eric Santor Microfinance institutions now serve over 10 million poor households in the developing and developed world, and much of their success has been attributed to their innovative use of peer group lending. There is very little empirical evidence, however, to suggest that group lending schemes offer a superior institutional design over lending programs that serve individual borrowers. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics JEL Code(s): E, J, J2, J23, O, O1, O17
Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics Staff Working Paper 2012-13 Christiane Baumeister, Philip Liu, Haroon Mumtaz We examine the evolution of the effects of monetary policy shocks on the distribution of disaggregate prices and quantities of personal consumption expenditures to assess the contribution of monetary policy to changes in U.S. inflation dynamics. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Monetary policy transmission JEL Code(s): E, E3, E30, E32
Uncovered Return Parity: Equity Returns and Currency Returns Staff Working Paper 2018-22 Edouard Djeutem, Geoffrey R. Dunbar We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Exchange rates, International financial markets JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G15
Methodology for Assigning Credit Ratings to Sovereigns Staff Discussion Paper 2017-7 Philippe Muller, Jérôme Bourque The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Credit risk management, Foreign reserves management JEL Code(s): F, F3, F31, G, G2, G24, G28, G3, G32
The Global Benefits of Low Oil Prices: More Than Meets the Eye Staff Analytical Note 2016-13 Robert Fay, Justin-Damien Guénette, Louis Morel Between mid-2014 and early 2016, oil prices fell by roughly 65 per cent. This note documents the channels through which this oil price decline is expected to affect the global economy. One important and immediate channel is through higher expenditures, especially in net oil-importing countries. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, International topics, Recent economic and financial developments JEL Code(s): E, E3, E32, E37, F, F0, F01, Q, Q4, Q43