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Pocket Banks and Out-of-Pocket Losses: Links between Corruption and Contagion
Solomon, Raphael H. - Bank of Canada - 2005
The author describes a model with a corrupt banking system, in which bankers knowingly lend at market interest rates to back projects riskier than the market rate indicates. Faced with early withdrawals, bankers turn to an interbank market, which may be available in an unfettered way, available...
Persistent link: https://www.econbiz.de/10005808388
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Optimal Margining and Margin Relief in Centrally Cleared Derivatives Markets
Raykov, Radoslav - Bank of Canada - 2014
times of stress, reducing market liquidity and further exacerbating downturns. Smoothing sharp changes in collateral …
Persistent link: https://www.econbiz.de/10010783635
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Consumer Interest Rates and Retail Mutual Fund Flows
Sierra, Jesus - Bank of Canada - 2012
This paper documents a link between the real and financial sides of the economy. We find that retail equity mutual fund flows in Canada are negatively related to current and past changes in a component of the prime and 5-year mortgage rates that is uncorrelated with government rates. The effect...
Persistent link: https://www.econbiz.de/10010598590
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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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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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To Link or Not To Link? Netting and Exposures Between Central Counterparties
Anderson, Stacey; Dion, Jean-Philippe; Saiz, Héctor Pérez - Bank of Canada - 2013
This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs. A total system perspective, taking both market participant and CCP...
Persistent link: https://www.econbiz.de/10010849955
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Vulnerabilities in Defined-Benefit Pension Plans
Selody, Jack - Bank of Canada - 2007
An effective pension system enhances economic and financial efficiency. A majority of pension plans in Canada are defined-benefit (DB) plans, but DB plans are under stress from increasing longevity, low long-term interest rates, and the shrinking equity premium. DB plans are vulnerable to such...
Persistent link: https://www.econbiz.de/10005673250
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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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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