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Bond liquidity premia
Fontaine, Jean-Sébastien; Garcia, René - 2009
. We measure the value of funding liquidity from the cross-section of on-the-run premia by adding a liquidity factor to an … arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An … increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on …
Persistent link: https://www.econbiz.de/10003933337
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The effect of economic news on bond market liquidity
D'Souza, Chris; Gaa, Charles - 2004
Persistent link: https://www.econbiz.de/10002098773
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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 …
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
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,...
Persistent link: https://www.econbiz.de/10008558776
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When bad things happen to good banks : contagious bank runs and currency crises
Solomon, Raphael H. - 2004
Persistent link: https://www.econbiz.de/10002109131
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The Threat of Counterfeiting in Competitive Search Equilibrium
Shao, Enchuan - Bank of Canada - 2013
Recent studies in monetary theory show that if buyers can use lotteries to signal the quality of bank notes …
Persistent link: https://www.econbiz.de/10010849966
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Money and Price Posting under Private Information
Dong, Mei; Jiang, Janet Hua - Bank of Canada - 2011
We study price posting with undirected search in a search-theoretic monetary model with divisible money and divisible goods. Ex ante homogeneous buyers experience match specific preference shocks in bilateral trades. The shocks follow a continuous distribution and the realization of the shocks...
Persistent link: https://www.econbiz.de/10009352262
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Are Sunspots Learnable? An Experimental Investigation in a Simple General-Equilibrium Model
Arifovic, Jasmina; Evans, George; Kostyshyna, Olena - Bank of Canada - 2013
We conduct experiments with human subjects in a model with a positive production externality in which productivity is a non-decreasing function of the average level of employment of other firms. The model has three steady states: the low and high steady states are expectationally stable...
Persistent link: https://www.econbiz.de/10010667179
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Information, Amplification and Financial Crisis
Ahnert, Toni; Kakhbod, Ali - Bank of Canada - 2014
We propose a parsimonious model of information choice in a global coordination game of regime change that is used to analyze debt crises, bank runs or currency attacks. A change in the publicly available information alters the uncertainty about the behavior of other investors. Greater strategic...
Persistent link: https://www.econbiz.de/10010798201