February 26, 2003
Posts
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February 20, 2003
Call for Input: Improving Financial System Data in Canada
Canada's financial system consists of financial institutions, financial markets, and clearing and settlement systems. It is a key part of the infrastructure of our economy. -
February 18, 2003
Government of Canada Debt Programs - Follow up to Change in Debt Structure Announced in 2003 Budget
As announced in the 2003 Budget, the Government will gradually reduce the fixed-rate portion of the debt from two-thirds to 60 per cent. The reduction will begin in the upcoming fiscal year and will be implemented in an orderly and transparent manner over the next five years to maintain a well-functioning Government of Canada securities market. -
Shift Contagion in Asset Markets
The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movement between markets during high-variance episodes are considered: larger common shocks operating through standard market linkages, and a structural change in the propagation of shocks between markets, called "shift contagion." -
Are Distorted Beliefs Too Good to be True?
In a recent attempt to account for the equity-premium puzzle within a representative-agent model, Cecchetti, Lam, and Mark (2000) relax the assumption of rational expectations and in its place use the assumption of distorted beliefs. The author shows that the explanatory power of the distorted beliefs model is due to an inconsistency in the model and that an attempt to remove this inconsistency removes the model's explanatory power. -
Modélisation et prévision du taux de change réel effectif américain
This study describes a simple model for predicting the real U.S. exchange rate. Starting with a large number of error-correction models, the authors choose the one giving the best out-of-sample forecasts over the period 1992Q3–2002Q1. -
Managing Operational Risk in Payment, Clearing, and Settlement Systems
Awareness of operational risk has increased greatly in recent years, both at individual financial institutions and for payment, clearing, and settlement systems (PCSS). PCSS consist of networks of interconnected elements (i.e., central operators, participants, and settlement agents); operational problems at any one of the key elements have the potential to disrupt the system as a whole and negatively affect financial stability. -
Banking Crises and Contagion: Empirical Evidence
Recent events, such as the East Asian, Mexican, Scandinavian, and Argentinian crises, have sparked considerable interest in exploring how shocks experienced by one country can spread vis-à-vis real and nominal links to other countries' banking systems. Given the large costs associated with banking-system failures, both economists and policy-makers are interested in predicting the onset of banking crises and assessing the likelihood of contagion during crisis events. -
Money in the Bank (of Canada)
With the demise of monetary targeting over the past 20 years in many major countries, the question has arisen as to whether central banks should look at money at all when formulating and conducting monetary policy.