G11 - Portfolio Choice; Investment Decisions
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June 7, 2018 The Bank of Canada’s Financial System Survey
This report presents the details of a new semi-annual survey that will improve the Bank of Canada’s surveillance across the financial system and deepen efforts to engage with financial system participants. The survey collects expert opinions on the risks to and resilience of the Canadian financial system as well as on emerging trends and financial innovations. The report presents an overview of the survey and provides high-level results from the spring 2018 survey. -
Information Contagion and Systemic Risk
We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default. -
Managing Risk Taking with Interest Rate Policy and Macroprudential Regulations
We develop a model in which a financial intermediary’s investment in risky assets—risk taking—is excessive due to limited liability and deposit insurance and characterize the policy tools that implement efficient risk taking. -
June 9, 2016 Large Canadian Public Pension Funds: A Financial System Perspective
The authors review the eight largest public pension funds in Canada. These funds are an important source of retirement income for Canadians. They are also significant investors, with net assets under management of over $1 trillion. The authors outline the investment strategies of the funds and how they interact with financial institutions and participate in financial markets. They also discuss the ways in which the funds’ risk-management frameworks could contribute to financial system stability and how they minimize potential vulnerabilities. -
The Dynamics of Capital Flow Episodes
This paper proposes a novel methodology for identifying episodes of strong capital flows based on a regime-switching model. In comparison with the existing literature, a key advantage of our methodology is to estimate capital flow regimes without the need for context- and sample-specific assumptions. -
On the Welfare Cost of Rare Housing Disasters
This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks. -
Exploring Differences in Household Debt Across Euro Area Countries and the United States
We use internationally comparable household-level data for ten euro area economies and the United States to investigate cross-country differences in debt holdings and the potential of debt overhang. -
Household Stockholding Behavior During the Great Financial Crisis
Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. -
Improving Public Equity Markets? No Pain, No Gain
This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms. -
Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities
This paper assesses the effectiveness and associated externalities that arise when macroprudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the period 1999-2009.