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3041 Results

Optimal Capital Regulation

Staff Working Paper 2017-6 Stéphane Moyen, Josef Schroth
We study constrained-efficient bank capital regulation in a model with market-imposed equity requirements. Banks hold equity buffers to insure against sudden loss of access to funding. However, in the model, banks choose to only partially self-insure because equity is privately costly.

How Oil Supply Shocks Affect the Global Economy: Evidence from Local Projections

Staff Discussion Paper 2019-6 Olivier Gervais
We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, International topics JEL Code(s): C, C2, C22, C5, E, E3, E37, Q, Q4, Q43
June 11, 2009

Collateral Management in the LVTS by Canadian Financial Institutions

This article examines the incentives for banks to hold various assets on their balance sheets for use as collateral when the opportunity cost of doing so can be high. Focusing on the five-year period (2002-07) that preceded the financial crisis, it examines the choices made by financial institutions among the assets that are pledged as collateral in Canada's Large Value Transfer System. This serves as a baseline for collateral-management practices during relatively normal times. The results of this study are important for policy-makers, especially the Bank of Canada, which is concerned both about the efficient functioning of fixed-income markets and about the credit risk it ultimately bears in insuring LVTS settlement. The results suggest that relative market liquidity and market-making capacity are important factors in the choice of securities pledged as collateral in the LVTS.

On-the-run Premia, Settlement Fails, and Central Bank Access

Staff Working Paper 2025-19 Fabienne Schneider
The premium on “on-the-run” Treasuries is an anomaly. I explain it using a model in which primary dealers hold inventories of Treasuries. I use the model to analyze the effects of granting access to central bank facilities.

Labor Market Participation, Unemployment and Monetary Policy

Staff Working Paper 2014-9 Alessia Campolmi, Stefano Gnocchi
We incorporate a participation decision in a standard New Keynesian model with matching frictions and show that treating the labor force as constant leads to incorrect evaluation of alternative policies.

Merchant Acceptance, Costs, and Perceptions of Retail Payments: A Canadian Survey

Staff Discussion Paper 2008-12 Carlos Arango, Varya Taylor
Using the results of a survey on accepted means of payment, the authors examine merchant preferences and perceptions of retail payment reliability, risk, and costs; the share of each type of payment method over total sales; and the costs involved in accepting payments.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Bank notes JEL Code(s): E, E4, E41, L, L2

Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics

Staff Working Paper 2013-12 Jianjian Jin
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Economic models JEL Code(s): G, G1, G12, G17
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