G1 - General Financial Markets

• Network Analysis and Canada's Large Value Transfer System

  Staff Discussion Paper 2009-13 Lana Embree, Tom Roberts

  Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): D, D8, D85, G, G1, G10

• Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks

  Staff Discussion Paper 2009-12 Alejandro García, Andrei Prokopiw

  Understanding the nature of credit risk has important implications for financial stability. Since authorities – notably, central banks – focus on risks that have systemic implications, it is crucial to develop ways to measure these risks.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Credit and credit aggregates, Financial markets, Financial stability JEL Code(s): G, G1, G10, G12, G13

• Short Changed? The Market's Reaction to the Short Sale Ban of 2008

  Staff Working Paper 2009-23 Louis Gagnon, Jonathan Witmer

  Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20

• The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness

  Staff Working Paper 2009-20 Bruno Feunou, Jean-Sébastien Fontaine, Roméo Tedongap

  We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G12, G13

• Testing for Financial Contagion with Applications to the Canadian Banking System

  Staff Working Paper 2009-14 Fuchun Li

  The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the data.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C12, G, G0, G01, G1, G15