Search

Content Types

Topics

JEL Codes

Locations

Departments

Authors

Sources

Statuses

Published After

Published Before

291 Results

Corporate Debt Composition and Business Cycles

Staff Working Paper 2019-5 Jelena Zivanovic
Based on empirical evidence, I propose a dynamic stochastic general equilibrium model with two financial sectors to analyze the role of corporate debt composition (bank versus bond financing) in the transmission of economic shocks.

Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?

Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four predictions.

Modelling the Macrofinancial Effects of a House Price Correction in Canada

We use a suite of risk-assessment models to examine the possible impact of a hypothetical house price correction, centred in the Toronto and Vancouver areas. We also assume financial stress significantly amplifies the macroeconomic impact of the house price decline.

The Impact of Recent Policy Changes on the Canadian Mortgage Market

Staff Analytical Note 2018-35 Olga Bilyk, Maria teNyenhuis
Recent policy changes are having a clear impact on the mortgage market. The number of new, highly indebted borrowers has fallen, and overall mortgage activity has slowed significantly.

The Framework for Risk Identification and Assessment

Technical Report No. 113 Cameron MacDonald, Virginie Traclet
Risk assessment models are an important component of the Bank’s analytical tool kit for assessing the resilience of the financial system. We describe the Framework for Risk Identification and Assessment (FRIDA), a suite of models developed at the Bank of Canada to quantify the impact of financial stability risks to the broader economy and a range of financial system participants (households, businesses and banks).
Content Type(s): Staff research, Technical reports Topic(s): Economic models, Financial institutions, Financial stability, Housing JEL Code(s): C, C3, C5, C6, C7, D, D1, E, E0, E00, E2, E27, E3, E37, E4, E47, G, G0, G2, G21

Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests

Staff Working Paper 2018-54 Maarten van Oordt
How much capital do banks need as a buffer to absorb severe shocks? By using historical stock market data, market-based stress tests help estimate the magnitude of capital buffers necessary to absorb severe but plausible shocks.

Multibank Holding Companies and Bank Stability

Staff Working Paper 2018-51 Radoslav Raykov, Consuelo Silva-Buston
This paper studies the relationship between bank holding company affiliation and the individual and systemic risk of banks. Using the 2005 hurricane season in the US as an exogenous shock to bank balance sheets, we show that banks that are part of a holding parent company are more resilient than independent banks.

Government of Canada Fixed-Income Market Ecology

Staff Discussion Paper 2018-10 Léanne Berger-Soucy, Corey Garriott, André Usche

This discussion paper is the third in the Financial Markets Department’s series on the structure of Canadian financial markets. These papers are called “ecologies” because they study the interactions among market participants, infrastructures, regulations and the terms of the traded contract itself.

Should Bank Capital Regulation Be Risk Sensitive?

Staff Working Paper 2018-48 Toni Ahnert, James Chapman, Carolyn A. Wilkins
We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker’s choice of risk.

Seeking Safety

Staff Working Paper 2018-41 Toni Ahnert, Enrico Perotti
The scale of safe assets suggests a structural demand for a safe wealth share beyond transaction and liquidity roles. We study how investors achieve a reference wealth level by combining self-insurance and contingent liquidation of investment. Intermediaries improve upon autarky, insuring investors with poor self-insurance and limiting liquidation.
Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): G, G2
Go To Page