G01 - Financial Crises

• Funding Advantage and Market Discipline in the Canadian Banking Sector

  Staff Working Paper 2013-50 Mehdi Beyhaghi, Chris D'Souza, Gordon S. Roberts

  We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Interest rates JEL Code(s): G, G0, G01, G2, G21, G28, G3, G32, G33
• November 14, 2013

  Assessing Financial System Vulnerabilities: An Early Warning Approach

  Bank of Canada Review - Autumn 2013 Gurnain Pasricha, Tom Roberts, Ian Christensen, Brad Howell

  This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use to assess vulnerabilities.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Econometric and statistical methods, Financial stability, Monetary and financial indicators JEL Code(s): E, E6, E66, G, G0, G01

• The ‘Celtic Crisis’: Guarantees, Transparency and Systemic Liquidity Risk

  Staff Working Paper 2013-31 Philipp König, Kartik Anand, Frank Heinemann

  Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of some European countries, most notably Ireland, have demonstrated, the credibility and effectiveness of these guarantees are crucially intertwined with the sovereign’s funding risks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): D, D8, D89, G, G0, G01, G2, G28

• Fire-Sale FDI or Business as Usual?

  Staff Working Paper 2013-17 Ron Alquist, Rahul Mukherjee, Linda Tesar

  Using a new data set, we examine the characteristics and dynamics of cross-border mergers and acquisitions during emerging-market financial crises, that is, so-called “fire-sale FDI.” Our findings shed fresh light on whether the transactions undertaken during crisis periods differ in fundamental ways from those undertaken during more tranquil periods.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International financial markets, International topics JEL Code(s): F, F2, F21, G, G0, G01, G3, G34

• A Semiparametric Early Warning Model of Financial Stress Events

  Staff Working Paper 2013-13 Ian Christensen, Fuchun Li

  The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C12, C14, G, G0, G01, G1, G17