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371 Results

A Microfounded Design of Interconnectedness-Based Macroprudential Policy

Staff Working Paper 2016-6 Jose Fique
To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk.

To Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse

Staff Working Paper 2016-4 Radoslav Raykov
This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms – variation margin haircutting and cash calls – and study the privately and socially optimal degree of loss sharing.
December 15, 2015

Residential Mortgage Securitization in Canada: A Review

Residential mortgage securitization plays an important role in the Canadian system of housing finance, especially given the rising share of government-supported (i.e., public) securitization over the past 15 years. Mordel and Stephens analyze the evolution of two types of mortgage securitization in Canada— private and public — focusing in particular on the underlying public policy and economic benefits of the latter. They review the potential implications of the extent of public securitization and conclude with a discussion of policies that could be considered to reinvigorate private securitization in Canada.

Emergency Liquidity Facilities, Signalling and Funding Costs

In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve’s discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities.
November 19, 2015

The Effect of Regulatory Changes on Monetary Policy Implementation Frameworks

This article provides an analysis of some recent banking regulatory initiatives that are likely to influence the activities of financial intermediaries and the effectiveness of central bank monetary policy implementation frameworks. Although the effects of individual regulations can be anticipated in most cases, the combined regulatory impact is not yet clear. Central banks should, however, be able to accommodate the effects of the emerging regulatory environment within their existing policy implementation frameworks.

Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?

Staff Working Paper 2015-40 John Muellbauer, Pierre St-Amant, David Williams
There is widespread agreement that, in the United States, higher house prices raise consumption via collateral or possibly wealth effects. The presence of similar channels in Canada would have important implications for monetary policy transmission.

Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach

Staff Working Paper 2015-32 Kartik Anand, Céline Gauthier, Moez Souissi
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.

Examining Full Collateral Coverage in Canada’s Large Value Transfer System

Staff Working Paper 2015-29 Lana Embree, Varya Taylor
The Large Value Transfer System (LVTS) is Canada’s main electronic interbank funds transfer system that financial institutions use daily to transmit thousands of payments worth several billions of dollars.
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