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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

Public/Private Transitions and Firm Financing

Huynh, Kim; Paligorova, Teodora; Petrunia, Robert - Bank of Canada - 2013

A large body of empirical literature investigates differences in financing structures across firms. Private firms’ financing receives little attention due to the lack of data. Using administrative confidential data on the universe of Canadian corporate firms, we compare financing relationships...

Persistent link: https://www.econbiz.de/10010849948

Regime Switches in the Risk-Return Trade-Off

Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - Bank of Canada - 2013

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …

Persistent link: https://www.econbiz.de/10010849950

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

CoMargin

Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013

derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other … risk concerns associated with them. CoMargin can be estimated using a model-free and scenario-based methodology, validated …

Persistent link: https://www.econbiz.de/10010849953

Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility

Chang, Bo Young; Feunou, Bruno - Bank of Canada - 2013

risk premium in the OIS market. …

Persistent link: https://www.econbiz.de/10010849956

Credit Market Frictions and Sudden Stops

Imura, Yuko - Bank of Canada - 2014

Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP). This paper develops a two-sector small open economy model wherein...

Persistent link: https://www.econbiz.de/10010960399

Improving Public Equity Markets? No Pain, No Gain

Kartashova, Katya - Bank of Canada - 2014

open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held …

Persistent link: https://www.econbiz.de/10010960401

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

Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis

Ehrmann, Michael; Fratzscher, Marcel - Bank of Canada - 2015

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...

Persistent link: https://www.econbiz.de/10011262896

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