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IMF-Supported Adjustment Programs: Welfare Implications and the Catalytic Effect

Resende, Carlos de - Bank of Canada - 2007

The author studies the welfare implications of adjustment programs supported by the International Monetary Fund (IMF). He uses a model where an endogenous borrowing constraint, set up by international lenders who will never lend more than a debt ceiling, forces the borrowing economy to always...

Persistent link: https://www.econbiz.de/10005162515

Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy

Resende, Carlos de - Bank of Canada - 2006

Consumption volatility relative to output volatility is consistently higher in emerging economies than in developed economies. One natural explanation is that emerging economies are more likely to face borrowing constraints and, as a consequence, find it more difficult to use international...

Persistent link: https://www.econbiz.de/10005673362

Shadow banking : financial intermediation beyond banks

Adrian, Tobias; Chrétien, Edouard; Chui, Michael; … - Shadow Banking: Financial Intermediation beyond Banks …; … - 2018

Persistent link: https://www.econbiz.de/10011790739

Sovereign risk, European crisis resolution policies and bond yields

Kilponen, Juha; Laakkonen, Helinä; Vilmunen, Jouko - Suomen Pankki - 2012

We study the effects of the ECB monetary policy and the European crisis resolution policies on the 10 year sovereign bond yields of seven European countries. We find that some of the decisions have had significant impact on sovereign bond yields and have succeeded in reducing stress in the...

Persistent link: https://www.econbiz.de/10011191539

Database of Sovereign Defaults, 2015 (Revised May 2015)

Beers, David; Nadeau, Jean-Sébastien - Bank of Canada - 2014

Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of...

Persistent link: https://www.econbiz.de/10011265712

International Capital Flows and Bond Risk Premia

Sierra, Jesus - Bank of Canada - 2010

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate …

Persistent link: https://www.econbiz.de/10008527619

How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange

Alquist, Ron - Bank of Canada - 2008

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the … proposition that liquidity risk affects the price of sovereign debt. This period was the last time that the debt of a …

Persistent link: https://www.econbiz.de/10005162431

Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?

Maier, Philipp; Vasishtha, Garima - Bank of Canada - 2008

Since 2002, spreads on emerging market sovereign debt have fallen to historical lows. Given the close links between sovereign spreads, capital flows to emerging markets, and economic growth, understanding the factors driving these spreads is very important. We address this issue in two stages....

Persistent link: https://www.econbiz.de/10005536848

The Safety of Government Debt

Anand, Kartik; Gai, Prasanna - Bank of Canada - 2013

We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of government bonds is driven by strategic complementarities across counterparties and the structure of trading relationships. We...

Persistent link: https://www.econbiz.de/10010697292

A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate<br>

Chabi-Yo, Fousseni; Yang, Jun - Bank of Canada - 2007

-varying exchange risk premium. …

Persistent link: https://www.econbiz.de/10005162497

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