Les taux de défaut sont des séries couramment utilisées dans les simulations de crise. Au Canada comme dans beaucoup d’autres pays, on ne dispose pas de séries rétrospect[...]

The financial systems of some countries fared materially better than others during the global financial crisis of 2007-09. The performance of the Canadian banking system [...]

This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default e[...]

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[...]

This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage deb[...]

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk pr[...]

The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: C[...]

We conduct experiments with human subjects in a model with a positive production externality in which productivity is a non-decreasing function of the average level of em[...]

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbanc[...]

Using a new data set, we examine the characteristics and dynamics of cross-border mergers and acquisitions during emerging-market financial crises, that is, so-called “fi[...]