This paper proposes a set of market-based measures on the systemic importance of a financial institution or a group of financial institutions, each designed to capture di[...]

One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with thei[...]

In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the fina[...]

To investigate the extent to which the transparency of the Bank of Canada's monetary policy has improved, the authors examine empirically – over the period 30 October 200[...]

The authors present a detailed discussion of the Bank of Canada's framework for the implementation of monetary policy. As background, they provide a brief overview of the[...]

This paper investigates why financial market crises often increase the interdependence between assets associated with different countries. Two sources of increased co-mov[...]

The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movemen[...]

Although dealership government and equity securities have, on the surface, similar market structures, the author demonstrates that some subtle differences exist between t[...]

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 [...]

In this study we statistically quantify the reactions of Canadian and U.S. interest rates to macroeconomic announcements released in Canada and in the United States. We f[...]