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dc.contributor.authorAllen, Jasonen
dc.contributor.authorHortaçsu, Alien
dc.contributor.authorKastl, Jakuben
dc.date.accessioned2011-08-25-
dc.date.accessioned2011-12-15T12:58:52Z-
dc.date.available2011-12-15T12:58:52Z-
dc.date.issued2011-
dc.identifier.pidoi:10.34989/swp-2011-17en
dc.identifier.urihttp://hdl.handle.net/10419/53966-
dc.description.abstractThis paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. We use data from the Canadian financial system to show that these publicly available risk measures, while indicative of initial problems of the financial system as a whole, do not seem to correspond to risks implied by the cross-sectional heterogeneity in bank behavior in short-term lending markets. Strategies in, and reliance on the payments system as well as special liquidity-supplying tools provided by the central bank seem to be more important additional indicators of distress of individual banks, or lack thereof than the CDSs. It therefore seems that central banks should utilize high-frequency data on liquidity demand to obtain a better picture of financial health of individual participants of the financial system.en
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2011-17en
dc.subject.jelG01en
dc.subject.jelG28en
dc.subject.jelE42en
dc.subject.jelE58en
dc.subject.ddc330en
dc.subject.keywordFinancial Institutionsen
dc.subject.keywordFinancial marketsen
dc.subject.keywordPaymenten
dc.subject.keywordclearingen
dc.subject.keywordand settlement systemsen
dc.titleAnalyzing default risk and liquidity demand during a financial crisis: The case of Canada-
dc.typeWorking Paperen
dc.identifier.ppn667034897en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:11-17en

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