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3045 Results

Analyzing Default Risk and Liquidity Demand during a Financial Crisis: The Case of Canada

Staff Working Paper 2011-17 Jason Allen, Ali Hortaçsu, Jakub Kastl
This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis.
June 22, 2011

Financial System Review - June 2011

Financial System Review - June 2011
In this issue of the Financial System Review, the Bank of Canada’s Governing Council judges that, although the Canadian finan­cial system is currently on a sound footing, risks to its stability remain elevated and have edged higher since December 2010.

Strengthening IMF Surveillance: An Assessment of Recent Reforms

Staff Discussion Paper 2009-10 Robert Lavigne, Lawrence L. Schembri
The authors assess the potential impact of recently approved reforms to International Monetary Fund (IMF) surveillance; namely, the "2007 Decision on Bilateral Surveillance Over Members' Policies" and the "Statement of Surveillance Priorities" (SSP). They conclude that these complementary reforms have the potential to create a comprehensive and coherent framework for IMF surveillance. If implemented properly, […]
Content Type(s): Staff research, Staff discussion papers Research Topic(s): International topics JEL Code(s): F, F3, F33

Financial Shocks and the Output Growth Distribution

This paper studies how financial shocks shape the distribution of output growth by introducing a quantile-augmented vector autoregression (QAVAR), which integrates quantile regressions into a structural VAR framework. The QAVAR preserves standard shock identification while delivering flexible, nonparametric forecasts of conditional moments and tail risk measures for gross domestic product.

Considerations for the allocation of non-default losses by financial market infrastructures

Staff Analytical Note 2022-16 Daniele Costanzo, Radoslav Raykov
Non-default losses of financial market infrastructures (FMIs) have gained attention due to their potential impacts on FMIs and FMI participants, and the lack of a common approach to address them. A key question is, who should absorb these losses?
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