Crisis Management in Canada: Analyzing Default Risk and Liquidity Demand during Financial Stress
利用加拿大银行间支付系统和流动性提供设施的详细数据，研究发现2008-2009年金融危机期间，银行对流动性的支付意愿上升是短暂的，基于央行流动性需求的高频指标可能优于市场指标。
Using detailed information from the Canadian interbank payments system and liquidity-providing facilities, we find that despite sustained increases in market-rate spreads, the increase in banks’ willingness to pay for liquidity during the 2008–2009 financial crisis was short-lived. Our study suggests that high-frequency distress indicators based on demand for liquidity offered by central banks can be complementary, and perhaps even superior, to market-based indicators, especially during times and in markets where uncertainty in the economic environment may lead to lack of meaningful information in prices due to absence of trading.