Capital Requirement and Financial Frictions in Banking: Macroeconomic Implications Staff Working Paper 2010-26 Ali Dib The author develops a dynamic stochastic general-equilibrium model with an active banking sector, a financial accelerator, and financial frictions in the interbank and bank capital markets. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Financial markets, Financial stability JEL Code(s): E, E3, E32, E4, E44, G, G1
Banks, Credit Market Frictions, and Business Cycles Staff Working Paper 2010-24 Ali Dib The author proposes a micro-founded framework that incorporates an active banking sector into a dynamic stochastic general-equilibrium model with a financial accelerator. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial stability JEL Code(s): E, E3, E32, E4, E44, G, G1
Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves Staff Discussion Paper 2010-13 Yuliya Romanyuk An objective function is a key component of a strategic portfolio management model used to determine the optimal allocations of assets and, possibly, their associated liabilities over some investment horizon. Content Type(s): Staff research, Staff discussion papers Topic(s): Foreign reserves management JEL Code(s): G, G1, G11
Identifying Asymmetric Comovements of International Stock Market Returns Staff Working Paper 2010-21 Fuchun Li Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, International topics JEL Code(s): C, C4, C49, F, F2, F21, G, G1, G15, G19
Asset-Liability Management: An Overview Staff Discussion Paper 2010-10 Yuliya Romanyuk Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA). Content Type(s): Staff research, Staff discussion papers Topic(s): Foreign reserves management JEL Code(s): G, G1, G11
An Assessment of the Bank of Canada's Term PRA Facility Staff Working Paper 2010-20 Emanuella Enenajor, Alex Sebastian, Jonathan Witmer This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): E, E5, E58, G, G1, G12, G18
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 Topic(s): Financial markets JEL Code(s): C, C2, C22, F, F3, F31, F32, F34, G, G1, G11, G12, G15
Idiosyncratic Coskewness and Equity Return Anomalies Staff Working Paper 2010-11 Fousseni Chabi-Yo, Jun Yang In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G11, G12, G14, G3, G33
Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate Staff Discussion Paper 2010-2 Alejandro García, Andrei Prokopiw Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods. Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Exchange rates, Financial markets JEL Code(s): C, C0, C00, C02, G, G1, G13
Search Frictions and Asset Price Volatility Staff Working Paper 2010-1 B. Ravikumar, Enchuan Shao We examine the quantitative effect of search frictions in product markets on asset price volatility. We combine several features from Shi (1997) and Lagos and Wright (2002) in a model without money. Households prefer special goods and general goods. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, G, G1, G12