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Resilience of Canadian Banks to Funding Liquidity Shocks

Hałaj, Grzegorz
2020
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Description

Abstract: The agent-based model of Hałaj (2018) is calibrated to data from granular liquidity reporting by the largest banks in Canada. The model describes propagation and amplification of funding shocks between banks interacting on the interbank market. Some stylized stress-test scenarios of funding outflows are considered to show how the model can be used to assess two vulnerabilities of the banking system: funding liquidity (which is cyclical) and interconnectedness (which is structural).

Details

Resource Type
Journal Article
Series (Uniform Title)
Peer-Reviewed Publications
Publications à comité de lecture
DOI
https://doi.org/10.1016/j.latcb.2020.100002
Title
Resilience of Canadian Banks to Funding Liquidity Shocks
Creator
Hałaj, Grzegorz (Bank of Canada)
Publisher
Elsevier BV
Date
2020-08-18
Published in
Latin American Journal of Central Banking
Volume
1
Issue
1-4
Language
English
Note
The views expressed in this paper are solely those of the authors and may differ from official Bank of Canada views. No responsibility for them should be attributed to the Bank.
Availability Statement
Paper is available on an open access basis.
Rights
Creative Commons Attribution Non Commercial No Derivatives 4.0 International, CC-BY-NC-ND-4.0, (https://creativecommons.org/licenses/by-nc-nd/4.0/legalcode)
Publication Citation
Hałaj, G. 2020. "Resilience of Canadian Banks to Funding Liquidity Shocks." Latin American Journal of Central Banking 1 No. 1-4. https://doi.org/10.1016/j.latcb.2020.100002.
Record Appears in
Bank of Canada Research > Peer-Reviewed Publications

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