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Uninsurable investment risks
Meh, Césaire Assah; Quadrini, Vincenzo - 2004
Persistent link: https://www.econbiz.de/10002185890
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Money demand and economic uncertainty
Atta-Mensah, Joseph - 2004
Persistent link: https://www.econbiz.de/10002129855
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Financial system review
Bank of Canada - Ottawa - 2002,Dez. - 2016,Juni
Persistent link: https://www.econbiz.de/10001727899
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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 …’ risk exposure in response to monetary policy. We find evidence in support of a systematic link between monetary conditions … and intertemporal variation in the risk-taking behavior of mutual funds. Specifically, following an expansionary monetary …
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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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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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … default swap index tranches, and a structural model applied to the spread on U.S. corporate bond indexes. The authors find …
Persistent link: https://www.econbiz.de/10003933233
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Regime Switches in the Risk-Return Trade-Off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - Bank of Canada - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …
Persistent link: https://www.econbiz.de/10010849950
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What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
Alquist, Ron; Bauer, Gregory; Rios, Antonio Diez de los - Bank of Canada - 2014
that the convenience yield curve is well explained by a level and a slope factor. Consistent with the theory of storage …
Persistent link: https://www.econbiz.de/10010960394