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1.
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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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This paper examines the factors that lead liquidity-motivated investors to choose the type of market structure they prefer. We assume that investors can choose between a [...]
2002 | 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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We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrag[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures,[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distributio[...]
2002 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is mea[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets. And yet, popular indicators of changes in risk appetite typically h[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key fundi[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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With the elimination of the federal deficit, the Bank of Canada, the Department of Finance, and financial market participants are examining ways to manage the reduction i[...]
1998 | Text | Staff Working Paper - Document de travail du personnel |
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