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We present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two type[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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Using detailed loan transactions-level data we examine the efficiency of an overnight interbank lending market, and the bargaining power of its participants. Our analysis[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in set[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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The authors consider the liquidity efficiency of Tranche 2 of the Large Value Transfer System (LVTS T2) by examining, through an empirical analysis, some plausible strate[...]
2008 | Text | Staff Discussion Paper - Document d’analyse du personnel |
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5.
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This paper develops a model of settlement system to study the endogenous structure of settlement networks, and the welfare consequences of clearing agent failure. The equ[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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Given the increasing interdependence of both financial systems and attendant payment and settlement systems a vital question is what form should optimal policy take when [...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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Freeman (1999) proposes a model in which discount window lending and open market operations have different effects. This is important because in most of the literature, t[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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We use a method similar to Google's PageRank procedure to rank banks in the Canadian Large Value Transfer System (LVTS). Along the way we obtain estimates of the payment [...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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