November 8, 1996
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1012
result(s)
Speculative Behaviour, Regime-Switching and Stock Market Crashes
Staff Working Paper 1996-13
Simon van Norden,
Huntley Schaller
This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
C,
C4,
C40,
E,
E4,
E44,
G,
G1,
G12
Interpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks
Staff Working Paper 1996-8
Marcel Kasumovich
In this paper two shocks are analysed using Canadian data: a money-supply shock ("M-shock") and an interest-rate shock ("R-shock"). Money-supply shocks are derived using long-run restrictions based on long-run propositions of monetary theory. Thus, an M-shock is represented by an orthogonalized innovation in the trend shared by money and prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary and financial indicators,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
E5,
E51
Provincial Credit Ratings in Canada: An Ordered Probit Analysis
Staff Working Paper 1996-6
Stella Cheung
The author estimates the relationship between the provincial credit ratings, as assessed by Standard & Poor's, and a number of economic variables, using the ordered probit methodology. All the variables in her estimation prove to be significant. In particular, she finds that downgrades take place at almost the same speed at different levels of the debt-to-GDP ratio, based on a pooled sample of nine provinces.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
H,
H6,
H63
Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions
Staff Working Paper 1996-4
Walter Engert,
Ben Fung,
Jamie Armour
The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a sufficiently long period of data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Monetary and financial indicators
JEL Code(s):
E,
E5,
E52
Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach
Staff Working Paper 1996-1
Robert Vigfusson
Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
C,
C4,
C40,
G,
G1,
G12
The Electronic Purse: An Overview of Recent Developments and Policy Issues
Technical Report No. 74
Gerald Stuber
Futurists have been speculating about the prospects for a cashless society for many years, and such predictions became more frequent following the introduction of "smart" cards - cards containing a computer chip - in the mid-1970s.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Digital currencies and fintech,
Financial institutions,
Payment clearing and settlement systems,
Recent economic and financial developments
JEL Code(s):
E,
E4,
E41,
G,
G2,
G20
December 10, 1995
Developments in trusteed pension funds
Trusteed pension funds are one of the most important sources of retirement income for Canadians. They have also been one of the fastest-growing sectors of the Canadian financial market. Trusteed pension funds play an important role in capital markets, channelling billions of dollars of their members' contributions into investments in financial and real assets. This article presents an overview of the trusteed pension funds sector. It provides a context for this overview by briefly presenting other sources of retirement income in Canada. It then examines the sources of the sector's rapid growth, including regulatory developments that have affected it, namely the increase in allowable foreign content and the adoption of the prudent person rule. Finally, it looks at the evolution of the sector's asset mix and how the sector interacts with capital markets.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial institutions,
Sectoral balance sheet
December 9, 1995
Survey of the Canadian foreign exchange and derivatives markets
Since 1983, the Bank of Canada has conducted a triennial survey of foreign exchange market activity in Canada. The latest survey was done in April 1995 and covered activity in both the foreign exchange market and in the derivatives markets. The central banks of most other industrialized countries with active foreign exchange and derivatives markets also conducted similar surveys. This was the first time that markets for over-the-counter (OTC) derivatives were surveyed by central banks in a systematic and comprehensive fashion. The average daily turnover in the Canadian foreign exchange market, including foreign exchange derivatives, has continued to grow rapidly (by approximately 36 per cent to about U.S.$30 billion) since the last survey, although at a slower pace than during the 1980s. Foreign exchange and interest rate derivatives contracts dominate derivatives market activity, with equity and commodity derivatives activity being almost negligible in comparison. Through April 1995, daily turnover volume in Canadian foreign exchange and interest rate derivatives markets averaged about U.S.$19 billion and U.S.$15 billion, respectively, mostly in forward and swap transactions.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial markets
The Empirical Performance of Alternative Monetary and Liquidity Aggregates
Staff Working Paper 1995-12
Joseph Atta-Mensah
This paper examines the empirical performance of alternatives to the monetary aggregates currently published by the Bank of Canada. The results show that real M1 and real M1a perform about equally well in providing leading information about real output at short horizons. However, on theoretical grounds, M1a is a more attractive aggregate, since it excludes […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary and financial indicators