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Research

We emphasize and encourage links between academic researchers and practitioners at financial institutions to bring theoretical techniques to bear on real-world issues.

Macroeconomic Risk

Macroeconomic risk derives from the behaviour of industries and governments and the relationships between them rather than from individual companies. It concerns fiscal and monetary policies, trade and investment flows and political developments on a national and international scale, and the effects of these factors on financial portfolios and company valuations. Intermediate variables of particular importance to macroeconomic risk include equities and commodities markets, business cycles, unemployment, inflation, interest rates, prices, and exports/imports.

GRI seeks to support our members as they refine and supplement existing risk management practices in response to changing macroeconomic conditions.


Research Report

In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk

14 January 2021  |  Macroeconomic Risk

The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country’s fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we find a positive and significant sensitivity of sovereign default risk to the intensity of the virus’ spread for fiscally constrained governments. Supporting the fiscal channel, we confirm the results for Eurozone countries and U.S. states, for which monetary policy can be held constant. Our analysis suggests that financial markets penalize sovereigns with low fiscal space, thereby impairing their resilience to external shocks.

Article

Progress Toward 2021 Canadian Monetary Policy Renewal

18 September 2020  |  Macroeconomic Risk

The Bank of Canada (BoC) is in the process of a multi-year review in advance of the renewal of its monetary policy framework in 2021. Culminating in an inflation-control agreement with the Government of Canada every five years, the renewal process adds credibility to the Bank’s inflation objective and underpins its operational independence. This paper is a summary of the virtual workshop the BoC held on August 26th titled “Towards the 2021 Renewal of the Monetary Policy Framework.

Research Report

Reimagining “NAFTA 2.0”

6 December 2018  |  Geopolitical

This report moves beyond traditional approaches to risk management in the financial services industry and focuses specifically on understanding political uncertainty. It uses the renegotiation of the North American Free Trade Agreement (NAFTA) as a case study to illustrate the value of social scientific theory when analyzing multilateral negotiations.

White Paper

United States-Mexico-Canada Agreement

6 November 2018  |  Geopolitical

Canadian financial service professionals have watched negotiations with a keen eye to see what changes could be made to the original NAFTA provisions and what the possible implications might be for the industry. With an agreement in place, it is possible to begin to evaluate the new elements of the USMCA and point to the kinds of first and second-order effects of which financial risk managers should be aware.

White Paper

Equity Holding Preferences of U.S. based Insurance Companies in Low Interest Rate Periods

22 March 2017  |  Macroeconomic Risk

Equity Holding Preferences of U.S. based Insurance Companies in Low Interest Rate PeriodsRelated Project: Optimal and Actual Asset Allocation Decisions in Protracted Low Interest Rate PeriodsAuthor: C. Krishnamurti, N. Papagiorgiou, F. RadmehrProfessor Chandrasekhar Krishnamurti is the lead research contributor for the Global Risk Institute on Optimal and Actual Asset Allocation Decisions in Protracted Low Interest Rate Periods…. View Article

Collaboration

Optimal and Actual Asset Allocation Decisions in Protracted Low Interest Rate Periods

13 June 2016  |  Macro-ecomonic Risk

Optimal and Actual Asset Allocation Decisions in Protracted Low Interest Rate Periods The project conducts an empirical study of the aggregate asset allocation decisions of Canadian, UK and US life insurance companies and pension funds. The project addresses three questions: 1. When making asset allocation decisions, do institutional investors react to changing economic conditions, including… View Article

Collaboration

Low for Long

13 June 2016  |  Macro-ecomonic Risk

Low for Long This research analyses the response of pension funds to the prolonged low-interest rate environment. This was achieved by; Looking at what different pensions have actually done since 2008; Determining what the response should have been based on strategic asset allocation models that acknowledge possible changes in the interest rate regime; Examining the… View Article

ADDRESS

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T 416 306 0606
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E info@globalriskinstitute.org

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