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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 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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3.
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The author proposes a micro-founded framework that incorporates an active banking sector into a dynamic stochastic general-equilibrium model with a financial accelerator.[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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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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5.
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The authors document leverage, capital and liquidity ratios of banks in Canada. These ratios are important indicators of different types of risk with respect to a bank’s [...]
2012 | Text | Staff Discussion Paper - Document d’analyse du personnel |
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6.
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The author develops a dynamic stochastic general-equilibrium model with an active banking sector, a financial accelerator, and financial frictions in the interbank and ba[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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The days when secrecy and opacity were the bywords of central banking are gone. The advent of inflation targeting in the early 1990s acted as the catalyst for enhanced tr[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail ris[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various ty[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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