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What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?
Gauthier, Céline; Gravelle, Toni; Liu, Xuezhi; … - Bank of Canada - 2011
different network structures of the banking system that are characterized by two different centrality measures. Their main …
Persistent link: https://www.econbiz.de/10009364337
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Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings
Gauthier, Céline; He, Zhongfang; Souissi, Moez - Bank of Canada - 2010
We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous outcome of the interaction between market...
Persistent link: https://www.econbiz.de/10008692892
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Funding Advantage and Market Discipline in the Canadian Banking Sector
Beyhaghi, Mehdi; D'Souza, Chris; Roberts, Gordon S. - Bank of Canada - 2013
Canadian banks. The banking sector in Canada provides a unique setting in which to examine market discipline along with the …
Persistent link: https://www.econbiz.de/10010723573
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Regulatory Constraints on Bank Leverage: Issues and Lessons from the Canadian Experience
Bordeleau, Etienne; Crawford, Allan; Graham, Christopher - Bank of Canada - 2009
The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements to the riskiness of its assets. Nevertheless, the risk estimates underlying these calculations may be imperfect, and it appears that a cyclical bias in measures of...
Persistent link: https://www.econbiz.de/10008502640
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Banks’ Financial Distress, Lending Supply and Consumption Expenditure
Damar, H. Evren; Group, Reint; Mordel, Adi - Bank of Canada - 2014
The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures. Specifically, we show that households whose banks were...
Persistent link: https://www.econbiz.de/10010762051
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Testing for financial contagion with applications to the Canadian banking system
Li, Fuchun - 2009
from a variety of recent financial crises to the Canadian banking system. Three empirical results are obtained. First … banking system. Second, the October 1997 East Asian crisis induced contagion in Asian countries, and it quickly spread to … Latin American and G-7 countries. The contagion from the East Asian crisis to the Canadian banking system was not as strong …
Persistent link: https://www.econbiz.de/10003852845
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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
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Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities
Beirne, John; Friedrich, Christian - Bank of Canada - 2014
the banking system as well as the presence of potential cross-country and cross-asset class spillover effects. Our results … indicate that the structure of the domestic banking system matters for the effectiveness of MPPs. We specifically find that a …, while a high return on assets in the domestic banking system has the opposite effect. Our results on the spillover analysis …
Persistent link: https://www.econbiz.de/10010849941
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Monetary Policy Transmission during Financial Crises: An Empirical Analysis
Dahlhaus, Tatjana - Bank of Canada - 2014
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a...
Persistent link: https://www.econbiz.de/10010849951
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Predicting Financial Stress Events: A Signal Extraction Approach
Christensen, Ian; Li, Fuchun - Bank of Canada - 2014
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor...
Persistent link: https://www.econbiz.de/10010960397