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have a funding advantage over small banks after controlling for bank-specific and market risk factors. Working with hand …
Persistent link: https://www.econbiz.de/10010723573
One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to … information on interbank exposures. A relatively small bank playing an outsized role in the interbank market might be more … systemic, and thus garner a higher capital surcharge, than a less-connected bank of somewhat larger size. Alternatively, if the …
Persistent link: https://www.econbiz.de/10009364337
We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous outcome of the interaction between market...
Persistent link: https://www.econbiz.de/10008692892
The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank …-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures …
Persistent link: https://www.econbiz.de/10010762051
This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold. Using the financial stress index...
Persistent link: https://www.econbiz.de/10008568174
for central-bank settlement balances in the Large Value Transfer System (LVTS). The empirical specification controls for … lower bound of the corridor. However, by targeting a slightly higher level, the Bank of Canada could be 95% certain that the …
Persistent link: https://www.econbiz.de/10010550572
Loan-level data on the uncollateralized overnight loan market is generated using payment data from Canada's Large Value Transfer System (LVTS) and a modified version of the methodology proposed in Furfine (1999). There were on average just under 100 loans extended in this market each day from...
Persistent link: https://www.econbiz.de/10005808390
This report presents a simple theorretical model that shows the quantitative impact of the increased interest rate premiums on economic performance. Some evidence is presented that suggests high Canadian interest rate premiums were an important factor explaining the general weakness of economic...
Persistent link: https://www.econbiz.de/10005808257
movements in commodity prices between July 2007 and July 2008. They use the Bank of Canada's version of the Global Economy Model …
Persistent link: https://www.econbiz.de/10005808267
mid-2000s. The Bank’s estimates of the real neutral policy rate currently stand in the 1 to 2 per cent range, or 3 to 4 …
Persistent link: https://www.econbiz.de/10010960403