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What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?

Gauthier, Céline; Gravelle, Toni; Liu, Xuezhi; … - Bank of Canada - 2011

One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance. Given the complexity of the financial system and the resulting difficulties in measuring systemic...

Persistent link: https://www.econbiz.de/10009364337

Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings

Gauthier, Céline; He, Zhongfang; Souissi, Moez - Bank of Canada - 2010

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …

Persistent link: https://www.econbiz.de/10008692892

Banks’ Financial Distress, Lending Supply and Consumption Expenditure

Damar, H. Evren; Group, Reint; Mordel, Adi - Bank of Canada - 2014

The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures. Specifically, we show that households whose banks were...

Persistent link: https://www.econbiz.de/10010762051

Monetary Policy Transmission during Financial Crises: An Empirical Analysis

Dahlhaus, Tatjana - Bank of Canada - 2014

This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a...

Persistent link: https://www.econbiz.de/10010849951

Securitization under Asymmetric Information over the Business Cycle

Kuncl, Martin - Bank of Canada - 2015

This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly...

Persistent link: https://www.econbiz.de/10011170163

Adverse Selection, Liquidity, and Market Breakdown

Kirabaeva, Koralai - Bank of Canada - 2010

This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in … determining market liquidity, asset prices and welfare. Even a small amount of adverse selection in the asset market can lead to … fire-sale pricing and possibly to a market breakdown if it is accompanied by a flight-to-liquidity, a misassessment of …

Persistent link: https://www.econbiz.de/10008765179

Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities

Beirne, John; Friedrich, Christian - Bank of Canada - 2014

This paper assesses the effectiveness and associated externalities that arise when macroprudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the...

Persistent link: https://www.econbiz.de/10010849941

Rollover Risk, Liquidity and Macroprudential Regulation

Ahnert, Toni - Bank of Canada - 2014

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to … fire sales ex post. Precautionary liquidity restores multiple equilibria in a global rollover game. An intermediate … liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness refinement to …

Persistent link: https://www.econbiz.de/10010779301

Household Stockholding Behavior During the Great Financial Crisis

Zhou, Jie - Bank of Canada - 2015

Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. We find evidence that less-educated households,...

Persistent link: https://www.econbiz.de/10011272205

An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt

Xu, Shaofeng - Bank of Canada - 2013

This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005. I construct an overlapping generations general equilibrium housing model and find that these three...

Persistent link: https://www.econbiz.de/10010640465

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