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Securitization under Asymmetric Information over the Business Cycle
Kuncl, Martin - Bank of Canada - 2015
This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly...
Persistent link: https://www.econbiz.de/10011170163
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Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - Bank of Canada - 2015
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks. The dispersions of...
Persistent link: https://www.econbiz.de/10011206206
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Assessing the impact of the Bank of Canada's government bond purchases
Azizova, Chinara; Witmer, Jonathan; Zhang, Xu - 2024
Persistent link: https://www.econbiz.de/10014577895
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Communicating uncertainty in monetary policy
Kozicki, Sharon; Vardy, Jill - 2017
While central banks cannot provide complete foresight with respect to their future policy actions, it is in the interests of both central banks and market participants that central banks be transparent about their reaction functions and how they may evolve in response to economic developments,...
Persistent link: https://www.econbiz.de/10012029810
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Communicating uncertainty in monetary policy
Kozicki, Sharon; Vardy, Jill - 2017
While central banks cannot provide complete foresight with respect to their future policy actions, it is in the interests of both central banks and market participants that central banks be transparent about their reaction functions and how they may evolve in response to economic developments,...
Persistent link: https://www.econbiz.de/10011747734
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The credibility of monetary policy: a survey of the literature with some simple applications to Caanda
Amano, Robert; Fenton, Paul; Tessier, David; Norden, … - EconWPA - 1996
We don't have an abstract yet, sorry. But I think the title is pretty descriptive.
Persistent link: https://www.econbiz.de/10005407873
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The SHERLOC: an EWS-based index of vulnerability for emerging economies
Alonso Álvarez, Irma; Molina Sánchez, Luis - 2019
of 'vulnerability' for three different types of crisis (sovereign, currency and banking crises). To build the index we fi … crisis. The short-term interbank rate is a leading indicator for the three different types of crises and short term external … probability of being in a 'vulnerable' state for each type of crisis. These indexes, labelled SHERLOC, which stands for Signalling …
Persistent link: https://www.econbiz.de/10012523724
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A GPS navigator to monitor risks in emerging economies: the vulnerability dashboard
Alonso Álvarez, Irma; Molina Sánchez, Luis - 2021
monitoring the build-up of vulnerabilities in emerging economies that may affect financial stability in Spain through financial …
Persistent link: https://www.econbiz.de/10012525982
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A GPS navigator to monitor risks in emerging economies : the vulnerability dashboard
Alonso Alvarez, Irma; Molina, Luis - 2021
Persistent link: https://www.econbiz.de/10012703113
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The SHERLOC : an EWS-based index of vulnerability for emerging economies
Alonso, Irma; Molina, Luis - 2019
Persistent link: https://www.econbiz.de/10012198296