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Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns

Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - Bank of Canada - 2015

Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of...

Persistent link: https://www.econbiz.de/10011206206

Bond Liquidity Premia

Fontaine, Jean-Sébastien; Garcia, René - Bank of Canada - 2009

LIBOR loans, swap contracts and corporate bonds. Moreover, the impact is large and pervasive through crisis and normal times …

Persistent link: https://www.econbiz.de/10008479255

Bond liquidity premia

Fontaine, Jean-Sébastien; Garcia, René - 2009

LIBOR loans, swap contracts and corporate bonds. Moreover, the impact is large and pervasive through crisis and normal times …

Persistent link: https://www.econbiz.de/10003933337

A Survey and Risk Analysis of Selected Non-Bank Retail Payments Systems

Chande, Nikil - Bank of Canada - 2008

Payment services offered by non-banks have flourished in recent years. The author provides an overview of the different kinds of non-bank retail payments schemes currently available in Canada, illustrating each by focusing on a specific example. Current players in the Canadian marketplace...

Persistent link: https://www.econbiz.de/10005808274

Banking Crises and Contagion: Empirical Evidence

Santor, Eric - Bank of Canada - 2003

interested in predicting the onset of banking crises and assessing the likelihood of contagion during crisis events. The author … control-group sample analogue to the set of crisis countries to accurately quantify the probability of the occurrence of a … banking crisis and the probability of banking-system contagion. The author finds that the sample choices of previous studies …

Persistent link: https://www.econbiz.de/10005808317

Modelling Financial Instability: A Survey of the Literature

Lai, Alexandra - Bank of Canada - 2002

Persistent link: https://www.econbiz.de/10005808334

Bank Loans for Private and Public Firms in a Credit Crunch

Allen, Jason; Paligorova, Teodora - Bank of Canada - 2011

2007 financial crisis has exposed the vulnerability of banks and ultimately firms to such a liability structure. The … authors show that banks that relied most on wholesale funding were the ones to contract its lending the most during the crisis …. Importantly, in the financial crisis banks passed the liquidity shock only to public firms. Furthermore, long-term relationships …

Persistent link: https://www.econbiz.de/10009326654

Volatility and Liquidity Costs

Chaker, Selma - Bank of Canada - 2013

Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before...

Persistent link: https://www.econbiz.de/10010686953

Do Sunspots Matter? Evidence from an Experimental Study of Bank Runs

Arifovic, Jasmina; Jiang, Janet Hua - Bank of Canada - 2014

A "sunspot" is a variable that has no direct impact on the economy’s fundamental condition, such as preferences, endowments or technologies, but may nonetheless affect economic outcomes through the expectations channel as a coordination device. This paper investigates how people react to...

Persistent link: https://www.econbiz.de/10010762044

High-Frequency Trading Competition

Brogaard, Jonathan; Garriott, Corey; Pomeranets, Anna - Bank of Canada - 2014

We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out. Earlier entry is associated with larger effects. After Passive HFT entry, incumbent spreads tighten....

Persistent link: https://www.econbiz.de/10010766000