FSRC - Financial System Research Center
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Price Movements in the Canadian Residential Mortgage Market
The authors empirically analyze the price-setting behaviour of the major Canadian banks in the residential mortgage market over the period 1991–2007. They use weekly posted prices of the major mortgage providers to study the degree of competition in mortgage price setting. -
Complex Ownership and Capital Structure
This paper investigates the impact of pyramid ownership structure and multiple controlling shareholders on firm leverage. Pyramids, having at least one controlling shareholder and a subsidiary, rely significantly more on debt financing than non-pyramid firms. -
Comparison of Auction Formats in Canadian Government Auctions
Using a rich sample of Canadian government securities auctions, we estimate the structural parameters of a share-auction model accounting for asymmetries across bidders. We find little evidence of asymmetries between participants at Canadian government nominal bond auctions. -
The Impact of Market Timing on Canadian and U.S. Firms' Capital Structure
This paper studies the impact of market timing on Canadian firms' capital structure and makes a comparison with U.S. firms. -
Financial Intermediation, Liquidity and Inflation
This paper develops a search-theoretic model to study the interaction between banking and monetary policy and how this interaction affects the allocation and welfare. Regarding how banking affects the welfare costs of inflation: First, we find that, with banking, inflation generates smaller welfare costs. -
Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account
The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the current account reflects consumption smoothing of agents that lend and borrow from the rest of the world in the face of transitory shocks to income. -
How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign debt. -
Indebtedness and the Household Financial Health: An Examination of the Canadian Debt Service Ratio Distribution
The household debt-to-disposable income ratio in Canada increased from 110 per cent in 1999 to 127 per cent in 2007. This increase has raised questions about the ability of households to service their increased debt if faced with a negative economic or socio-economic shock. -
A Survey and Risk Analysis of Selected Non-Bank Retail Payments Systems
Payment services offered by non-banks have flourished in recent years. The author provides an overview of the different kinds of non-bank retail payments schemes currently available in Canada, illustrating each by focusing on a specific example.