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The Impact of Operational Events on the Network Structure of the LVTS
Roberts, Tom - Bank of Canada - 2011
The author uses a quantitative network analysis approach to assess how participants in the Large Value Transfer System (LVTS) respond to partial outages at other banks. Despite the limited number of operational events, benchmarks can be established. For example, the effect of a partial outage at...
Persistent link: https://www.econbiz.de/10009323065
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Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
Liu, Ying - Bank of Canada - 2001
This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium. We also introduce time-varying thresholds into the standard...
Persistent link: https://www.econbiz.de/10005162463
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Identifying Asymmetric Comovements of International Stock Market Returns
Li, Fuchun - Bank of Canada - 2010
Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. The test is used to detect whether asymmetric comovements...
Persistent link: https://www.econbiz.de/10010702055
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Testing for financial contagion with applications to the Canadian banking system
Li, Fuchun - 2009
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...
Persistent link: https://www.econbiz.de/10003852845
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Financial system review
Bank of Canada - Ottawa : [Verlag nicht ermittelbar] - 2002,Dez. -
Persistent link: https://www.econbiz.de/10003796662
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Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data
Chapman, James; Zhang, Yinan - Bank of Canada - 2010
In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment...
Persistent link: https://www.econbiz.de/10008530600
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Network Analysis and Canada's Large Value Transfer System
Embree, Lana; Roberts, Tom - Bank of Canada - 2009
remained stable from 2004 to 2008, even through the credit crisis. …
Persistent link: https://www.econbiz.de/10008558776
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A financial conditions index for the United States
Beaton, Kimberly; Lalonde, René; Luu, Corinne - 2009
The financial crisis of 200709 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to financial variables on U.S. GDP growth by constructing two growthbased financial conditions indexes...
Persistent link: https://www.econbiz.de/10003933229
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Credit constraints and consumer spending
Beaton, Kimberly - 2009
This paper examines the relationship between aggregate consumer spending and credit availability in the United States …. The author finds that consumer spending falls (rises) in response to a reduction (increase) in credit availability …. Moreover, she provides a formal assessment of the possibility that credit availability is particularly important for consumer …
Persistent link: https://www.econbiz.de/10003933295
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Credit Constraints and Consumer Spending
Beaton, Kimberly - Bank of Canada - 2009
This paper examines the relationship between aggregate consumer spending and credit availability in the United States …. The author finds that consumer spending falls (rises) in response to a reduction (increase) in credit availability …. Moreover, she provides a formal assessment of the possibility that credit availability is particularly important for consumer …
Persistent link: https://www.econbiz.de/10005015331