Understanding the Systemic Implications of Climate Transition Risk: Applying a Framework Using Canadian Financial System Data
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Hossein Hosseini & Craig Johnston & Craig Logan & Miguel Molico & Xiangjin Shen & Marie-Christine Tremblay, 2022. "Assessing Climate-Related Financial Risk: Guide to Implementation of Methods," Technical Reports 120, Bank of Canada.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009.
"Market Liquidity and Funding Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Brunnermeier, Markus & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
- Fricke, Christoph & Fricke, Daniel, 2021.
"Vulnerable asset management? The case of mutual funds,"
Journal of Financial Stability, Elsevier, vol. 52(C).
- Fricke, Christoph & Fricke, Daniel, 2017. "Vulnerable asset management? The case of mutual funds," Discussion Papers 32/2017, Deutsche Bundesbank.
- Ahnert, Toni & Georg, Co-Pierre, 2018.
"Information contagion and systemic risk,"
Journal of Financial Stability, Elsevier, vol. 35(C), pages 159-171.
- Toni Ahnert & Co-Pierre Georg, 2017. "Information Contagion and Systemic Risk," Staff Working Papers 17-29, Bank of Canada.
- Co-Pierre Georg & Toni Ahnert, 2017. "Information Contagion and Systemic Risk," Working Papers 686, Economic Research Southern Africa.
- Viral V. Acharya & Tanju Yorulmazer, 2008.
"Information Contagion and Bank Herding,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 215-231, February.
- Viral V. Acharya & Tanju Yorulmazer, 2008. "Information Contagion and Bank Herding," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 215-231, February.
- Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2015.
"Systemic Risk and Stability in Financial Networks,"
American Economic Review, American Economic Association, vol. 105(2), pages 564-608, February.
- Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2013. "Systemic Risk and Stability in Financial Networks," NBER Working Papers 18727, National Bureau of Economic Research, Inc.
- Goldstein, Itay & Jiang, Hao & Ng, David T., 2017. "Investor flows and fragility in corporate bond funds," Journal of Financial Economics, Elsevier, vol. 126(3), pages 592-613.
- Abad, Jorge & D’Errico, Marco & Killeen, Neill & Luz, Vera & Peltonen, Tuomas & Portes, Richard & Urbano, Teresa, 2022. "Mapping exposures of EU banks to the global shadow banking system," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Veronika K. Pool & Noah Stoffman & Scott E. Yonker, 2015. "The People in Your Neighborhood: Social Interactions and Mutual Fund Portfolios," Journal of Finance, American Finance Association, vol. 70(6), pages 2679-2732, December.
- Chen, Qi & Goldstein, Itay & Jiang, Wei, 2010. "Payoff complementarities and financial fragility: Evidence from mutual fund outflows," Journal of Financial Economics, Elsevier, vol. 97(2), pages 239-262, August.
- Jiekun Huang, 2020. "Dynamic Liquidity Preferences of Mutual Funds," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 1-44, December.
- Guillaume Ouellet Leblanc & Rohan Arora, 2018. "How do Canadian Corporate Bond Mutual Funds Meet Investor Redemptions?," Staff Analytical Notes 2018-14, Bank of Canada.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Rohan Arora & Guillaume Bédard-Pagé & Guillaume Ouellet Leblanc & Ryan Shotlander, 2019. "Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach," Technical Reports 115, Bank of Canada.
- Dekker, Lennart, 2024. "Essays on asset liquidity and investment funds," Other publications TiSEM 5fc9bf77-84e7-4a36-9e3a-1, Tilburg University, School of Economics and Management.
- Yoshihiko Hogen & Yoshiyasu Koide & Yuji Shinozaki, 2022. "Rise of NBFIs and the Global Structural Change in the Transmission of Market Shocks," Bank of Japan Working Paper Series 22-E-14, Bank of Japan.
- Antonio Falato & Ali Hortaçsu & Dan Li & Chaehee Shin, 2021. "Fire‐Sale Spillovers in Debt Markets," Journal of Finance, American Finance Association, vol. 76(6), pages 3055-3102, December.
- Thierry Roncalli, 2021. "Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk," Papers 2110.01302, arXiv.org.
- Aikman, David & Beale, Daniel & Brinley-Codd, Adam & Covi, Giovanni & Hüser, Anne‑Caroline & Lepore, Caterina, 2023.
"Macroprudential stress‑test models: a survey,"
Bank of England working papers
1037, Bank of England.
- David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023. "Macro-Prudential Stress Test Models: A Survey," IMF Working Papers 2023/173, International Monetary Fund.
- Milan Szabo, 2023. "Cyclical Investment Behavior of Investment Funds: Its Heterogeneity and Drivers," Working Papers 2023/5, Czech National Bank.
- James Brugler & Minsoo Kim & Zhuo Zhong, 2024. "Liquidity shocks and pension fund performance: Evidence from early access," Australian Journal of Management, Australian School of Business, vol. 49(2), pages 170-191, May.
- Wiersema, Garbrand & Kleinnijenhuis, Alissa M. & Wetzer, Thom & Farmer, J. Doyne, 2023.
"Scenario-free analysis of financial stability with interacting contagion channels,"
Journal of Banking & Finance, Elsevier, vol. 146(C).
- Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Wiersema, Garbrand, 2020. "Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels," INET Oxford Working Papers 2019-10, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Chang, Jin-Wook & Chuan, Grace, 2024.
"Contagion in debt and collateral markets,"
Journal of Monetary Economics, Elsevier, vol. 148(C).
- Chang, Jin-Wook, 2021. "Contagion in Debt and Collateral Markets," MPRA Paper 111131, University Library of Munich, Germany.
- Jin-Wook Chang & Grace Chuan, 2023. "Contagion in Debt and Collateral Markets," Finance and Economics Discussion Series 2023-016, Board of Governors of the Federal Reserve System (U.S.).
- Thierry Roncalli & Fatma Karray-Meziou & Franc{c}ois Pan & Margaux Regnault, 2021. "Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk," Papers 2101.02110, arXiv.org.
- Agostino Capponi & Paul Glasserman & Marko Weber, 2020. "Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions," Management Science, INFORMS, vol. 66(8), pages 3581-3602, August.
- Milan Szabo, 2022.
"Meeting investor outflows in Czech bond and equity funds: horizontal or vertical?,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(4), pages 1123-1151, November.
- Milan Szabo, 2022. "Meeting Investor Outflows in Czech Bond and Equity Funds: Horizontal or Vertical?," Working Papers 2022/6, Czech National Bank.
- Wang, Z. Jay & Yang, Jingyun, 2021. "Cross-trading and liquidity management: Evidence from municipal bond funds," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
- Zhang, Ning & Zhang, Yue & Zong, Zhe, 2023. "Fund ESG performance and downside risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Barbu, Alexandru & Fricke, Christoph & Mönch, Emanuel, 2020.
"Procyclical asset management and bond risk premia,"
Discussion Papers
38/2020, Deutsche Bundesbank.
- Barbu, Alexandru & Fricke, Christoph & Moench, Emanuel, 2021. "Procyclical asset management and bond risk premia," ESRB Working Paper Series 116, European Systemic Risk Board.
- Barbu, Alexandru & Fricke, Christoph & ,, 2020. "Procyclical Asset Management and Bond Risk Premia," CEPR Discussion Papers 15123, C.E.P.R. Discussion Papers.
- Dekker, Lennart & Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2023. "Liquidity buffers and open-end investment funds: containing outflows and reducing fire sales," Working Paper Series 2825, European Central Bank.
- Pagano, Marco & Sánchez Serrano, Antonio & Zechner, Jozef, 2019. "Can ETFs contribute to systemic risk?," Report of the Advisory Scientific Committee 9, European Systemic Risk Board.
- Agostino Capponi & Paul Glasserman & Marko Weber, 2018. "Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs," Working Papers 18-04, Office of Financial Research, US Department of the Treasury.
- Hodula, Martin & Szabo, Milan & Bajzík, Josef, 2024.
"Retail fund flows and performance: Insights from supervisory data,"
Emerging Markets Review, Elsevier, vol. 59(C).
- Martin Hodula & Milan Szabo & Josef Bajzik, 2022. "Retail Fund Flows and Performance: Insights from Supervisory Data," Working Papers 2022/10, Czech National Bank.
More about this item
Keywords
Climate change; Financial stability; Financial institutions; Financial markets; Economic models;All these keywords.
JEL classification:
- Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G01 - Financial Economics - - General - - - Financial Crises
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2024-02-05 (Banking)
- NEP-ENV-2024-02-05 (Environmental Economics)
- NEP-RMG-2024-02-05 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bca:bocadp:23-32. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bocgvca.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.