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Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
Pesaran, M. Hashem; Xu, TengTeng - Bank of Canada - 2013
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics. Firms are identical ex ante but differ ex post due to different realizations of firm-specific...
Persistent link: https://www.econbiz.de/10010849962
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Canadian Bank Balance-Sheet Management: Breakdown by Types of Canadian Financial Institutions
Chen, David Xiao; Damar, H. Evren; Soubra, Hani; … - Bank of Canada - 2012
The authors document leverage, capital and liquidity ratios of banks in Canada. These ratios are important indicators of different types of risk with respect to a bank’s balance-sheet management. Particular attention is given to the observations by different types of banks, including small...
Persistent link: https://www.econbiz.de/10010849976
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A Model of Tiered Settlement Networks
Chapman, James; Chiu, Jonathan; Molico, Miguel - Bank of Canada - 2008
This paper develops a model of settlement system to study the endogenous structure of settlement networks, and the welfare consequences of clearing agent failure. The equilibrium degree of tiering is endogenously determined by the cost structure and the information structure. The degree of...
Persistent link: https://www.econbiz.de/10005220954
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When Is It Less Costly for Risky Firms to Borrow? Evidence from the Bank Risk-Taking Channel of Monetary Policy
Paligorova, Teodora; Santos, João A. C. - Bank of Canada - 2012
In an investigation of banks’ loan pricing policies in the United States over the past two decades, this study finds supporting evidence for the bank risk-taking channel of monetary policy. We show that banks charge lower spreads when they lend to riskier borrowers relative to the spreads they...
Persistent link: https://www.econbiz.de/10009653926
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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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Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
Gravelle, Toni; Li, Fuchun - Bank of Canada - 2011
the proxy for Canadian banking sector, we apply these measures to identify systemically important banks in Canadian … banking sector and major risk contributors from international financial institutions to Canadian banking sector. The empirical … Asian banks, the crashes of U.S. banks, on average, are the most damaging to the Canadian banking sector, while the risk …
Persistent link: https://www.econbiz.de/10009326653
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Bank Leverage Regulation and Macroeconomic Dynamics
Christensen, Ian; Meh, Césaire; Moran, Kevin - Bank of Canada - 2011
their creditors. In this economy, the lending decisions of individual banks affect the riskiness of the whole banking sector …
Persistent link: https://www.econbiz.de/10009395395
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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
different network structures of the banking system that are characterized by two different centrality measures. Their main …
Persistent link: https://www.econbiz.de/10009364337
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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...
Persistent link: https://www.econbiz.de/10008692892
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Lessons from the Financial Crisis: Bank Performance and Regulatory Reform
Arjani, Neville; Paulin, Graydon - Bank of Canada - 2013
-09. The performance of the Canadian banking system during this period was relatively strong. Using a case study approach … approach to risk management on the part of the Canadian banking system, an approach that was actively fostered by the domestic …
Persistent link: https://www.econbiz.de/10010722802