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Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy
Gungor, Sermin; Sierra, Jesus - Bank of Canada - 2014
This paper investigates the effects of monetary policy on the risk-taking behavior of fixed-income mutual funds in Canada. We consider different measures of the stance of monetary policy and investigate active variation in mutual funds’ risk exposure in response to monetary policy. We find...
Persistent link: https://www.econbiz.de/10010849943
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CoMargin
Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes market...
Persistent link: https://www.econbiz.de/10010849953
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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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Improving Public Equity Markets? No Pain, No Gain
Kartashova, Katya - Bank of Canada - 2014
This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms. They can diversify by investing in publicly traded...
Persistent link: https://www.econbiz.de/10010960401
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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 Macroeconomic Implications of Changes in Bank Capital and Liquidity Requirements in Canada: Insights from the BoC-GEM-FIN
Resende, Carlos de; Dib, Ali; Perevalov, Nikita - Bank of Canada - 2010
in the Canadian banking sector. …
Persistent link: https://www.econbiz.de/10009323067
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Analyzing Default Risk and Liquidity Demand during a Financial Crisis: The Case of Canada
Allen, Jason; Hortaçsu, Ali; Kastl, Jakub - Bank of Canada - 2011
This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. We use data from the Canadian financial system to show that these publicly available risk measures, while indicative of initial...
Persistent link: https://www.econbiz.de/10009326649
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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 Loans for Private and Public Firms in a Credit Crunch
Allen, Jason; Paligorova, Teodora - Bank of Canada - 2011
between firms and banks played an important role during the crisis. Public firms with weak banking relationships pre …
Persistent link: https://www.econbiz.de/10009326654