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Testing for financial contagion with applications to the Canadian banking system
Li, Fuchun - 2009
The author proposes a new test for financial contagion based on a non-parametric measure of the cross … good power to detect financial contagion, and that Forbes and Rigobon's test (2002) is conservative, suggesting that their … test tends not to find evidence of contagion when it does exist. The author’s new test is applied to investigate contagion …
Persistent link: https://www.econbiz.de/10003852845
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Testing for Financial Contagion with Applications to the Canadian Banking System
Li, Fuchun - Bank of Canada - 2009
The author proposes a new test for financial contagion based on a non-parametric measure of the cross … good power to detect financial contagion, and that Forbes and Rigobon's test (2002) is conservative, suggesting that their … test tends not to find evidence of contagion when it does exist. The author's new test is applied to investigate contagion …
Persistent link: https://www.econbiz.de/10005051736
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A Semiparametric Early Warning Model of Financial Stress Events
Christensen, Ian; Li, Fuchun - Bank of Canada - 2013
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with...
Persistent link: https://www.econbiz.de/10010658798
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Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Gungor, Sermin; Luger, Richard - Bank of Canada - 2013
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10010667177
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Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Gungor, Sermin; Luger, Richard - Bank of Canada - 2010
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...
Persistent link: https://www.econbiz.de/10008765828
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Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities
Beirne, John; Friedrich, Christian - Bank of Canada - 2014
spillovers across countries. However, the economic significance of the results suggests that only a limited number of countries …
Persistent link: https://www.econbiz.de/10010849941
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Household Stockholding Behavior During the Great Financial Crisis
Zhou, Jie - Bank of Canada - 2015
Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. We find evidence that less-educated households,...
Persistent link: https://www.econbiz.de/10011272205
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Rollover Risk, Liquidity and Macroprudential Regulation
Ahnert, Toni - Bank of Canada - 2014
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post. Precautionary liquidity restores multiple equilibria in a global rollover game. An intermediate liquidity level supports both the usual run equilibrium and...
Persistent link: https://www.econbiz.de/10010779301
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Adverse Selection, Liquidity, and Market Breakdown
Kirabaeva, Koralai - Bank of Canada - 2010
This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Even a small amount of adverse selection in the asset market can lead to fire-sale pricing and possibly to a market breakdown if...
Persistent link: https://www.econbiz.de/10008765179
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Short changed? : the market's reaction to the short sale ban of 2008
Gagnon, Louis; Witmer, Jonathan - 2009
Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Among financial stocks, which were singled out by the ban...
Persistent link: https://www.econbiz.de/10003933290