1.
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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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2.
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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[...]
2013 | Texte | Staff Discussion Paper - Document d’analyse du personnel |
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3.
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Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loa[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuat[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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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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6.
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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[...]
2013 | 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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We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of g[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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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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10.
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Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To[...]
2012 | Text | Staff Discussion Paper - Document d’analyse du personnel |
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