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Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices
Witmer, Jonathan - Bank of Canada - 2012
Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs. Using...
Persistent link: https://www.econbiz.de/10010570096
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Securitization under Asymmetric Information over the Business Cycle
Kuncl, Martin - Bank of Canada - 2015
risk, the issuer of securitized assets may credibly signal its quality. However, in the boom stage of the business cycle …-quality assets are no longer traded. The model also suggests that improperly designed regulation requiring higher explicit risk …
Persistent link: https://www.econbiz.de/10011170163
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Lessons from International Central Counterparties: Benchmarking and Analysis
Lazarow, Alexandre - Bank of Canada - 2011
Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a … Clearing, Eurex Clearing and LCH.Clearnet - are considered in terms of risk management, CCP links, governance and operational … risk. …
Persistent link: https://www.econbiz.de/10009323064
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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 risk-adjusted capital contributed to procyclical increases in global leverage …
Persistent link: https://www.econbiz.de/10008502640
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The ‘Celtic Crisis’: Guarantees, Transparency and Systemic Liquidity Risk
König, Philipp; Anand, Kartik; Heinemann, Frank - Bank of Canada - 2013
-sheet transparency. We explain the asymmetry in risk transfer between the sovereign and the banking sector, following the introduction of …
Persistent link: https://www.econbiz.de/10010691319
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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-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the...
Persistent link: https://www.econbiz.de/10003852845
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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
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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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Bank Loans for Private and Public Firms in a Credit Crunch
Allen, Jason; Paligorova, Teodora - Bank of Canada - 2011
Banks reliance on short-term funding has increased over time. While an effective source of financing in good times, the 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...
Persistent link: https://www.econbiz.de/10009326654
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Short Changed? The Market's Reaction to the Short Sale Ban of 2008
Gagnon, Louis; Witmer, Jonathan - Bank of Canada - 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/10005034245