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This paper studies the interaction between adverse selection, liquidity risk and beliefs about systemic risk in determining market liquidity, asset prices and welfare. Ev[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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The author develops a theoretical model of bank closure. The regulatory decision about bank failure consists of two parts: whether to close and how to close. Assuming tha[...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. W[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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The author presents a model of a twin crisis, in which foreign and domestic residents play a banking game. Both "honest" and run equilibria of the post-deposit subgame ex[...]
2003 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. The authors provide a statistical met[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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Evidence suggests that banks, like firms, face financial frictions when raising funds. The authors develop a quantitative, monetary business cycle model in which agency p[...]
2004 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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The author develops the first comparative empirical study of bank failures during the nineties between East Asia and Latin America using bank-level data, in order to addr[...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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The authors use a dynamic general-equilibrium model to study the role financial frictions play as a transmission mechanism of Canadian monetary policy, and to evaluate th[...]
2003 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with m[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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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 vulnerabilit[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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