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3045 Results

Regulatory Requirements of Banks and Arbitrage in the Post-Crisis Federal Funds Market

Staff Working Paper 2022-48 Rodney J. Garratt, Sofia Priazhkina
This paper explains the nature of interest rates in the U.S. federal funds market after the 2007-09 financial crisis. We build a model of the over-the-counter lending market that incorporates new aspects of the financial system: abundance of liquidity, different regulatory standards for banks, and arbitrage opportunities created by limited access to the facility granting interest on excess reserves.

The Role of the International Monetary Fund in the Post-Crisis World

Staff Discussion Paper 2016-6 Mark Kruger, Robert Lavigne, Julie McKay
The International Monetary Fund (IMF, or the Fund) has undergone a number of significant policy changes and reforms in the wake of the global financial crisis. Most notably, in December 2015, the United States approved long-delayed legislation to increase the representation of developing countries in the Fund’s governance structure.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): International topics JEL Code(s): F, F3, F33

Privacy-Preserving Post-Quantum Credentials for Digital Payments

Staff Working Paper 2023-33 Raza Ali Kazmi, Duc-Phong Le, Cyrus Minwalla
Digital payments and decentralized systems enable the creation of new financial products and services for users. One core challenge in digital payments is the need to protect users from fraud and abuse while retaining privacy in individual transactions. We propose a pseudonymous credential scheme for use in payment systems to tackle this problem.

Downside Variance Risk Premium

Staff Working Paper 2015-36 Bruno Feunou, Mohammad R. Jahan-Parvar, Cédric Okou
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing JEL Code(s): G, G1, G12
June 7, 2018

Establishing a Resolution Regime for Canada’s Financial Market Infrastructures

This report highlights how an effective resolution regime promotes financial stability. It does this by ensuring that financial market infrastructures (FMIs) would be able to continue to provide their critical functions during a period of stress when an FMI’s own recovery measures were failing. The report explains the Bank of Canada’s new role as the resolution authority for FMIs, which will further bolster financial system resilience.

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): G, G1, G13

The Countercyclical Capital Buffer and International Bank Lending: Evidence from Canada

Staff Working Paper 2021-61 David Xiao Chen, Christian Friedrich
We examine the impact of the CCyB on foreign lending activities of Canadian banks. We show that the announcement of a tightening in another country’s CCyB leads to a decrease in the growth rate of cross-border lending between Canadian banks and borrowers in that other country.

International Capital Flows and Bond Risk Premia

Staff Working Paper 2010-14 Jesus Sierra
This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C2, C22, F, F3, F31, F32, F34, G, G1, G11, G12, G15

Household balance sheets and mortgage payment shocks

Staff Analytical Note 2025-23 Thomas Michael Pugh, Saarah Sheikh, Taylor Webley
Household savings in Canada have increased significantly since 2019, especially among homeowners without a mortgage. We assess how savings buffers can mitigate households’ financial risk in relation to asset repricing, mortgage payment renewal and unemployment.
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