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172
result(s)
A Market Microstructure Analysis of Foreign Exchange Intervention in Canada
Staff Working Paper 2002-16
Chris D'Souza
This paper clarifies the role and the impact of foreign exchange dealers in the relationship between foreign exchange intervention and nominal exchange rates using a unique dataset that disaggregates trades by dealer and by type of trade.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial institutions,
Financial markets
JEL Code(s):
F,
F3,
F31,
G,
G1,
G14,
G2,
G21
May 18, 2002
Foreign Takeovers and the Canadian Dollar: Evidence and Implications
Since 1995, acquisitions of foreign firms by Canadian residents and acquisitions of Canadian firms by foreign residents have increased. Through most of this period, the dollar has depreciated, but the cumulative net balance of foreign direct investment acquisition flows has remained close to zero. The recent upward trend in bilateral acquisition flows is part of the globalization process as firms consolidate and rationalize their operations, and is not related to the value of the Canadian dollar. Standard models of international asset pricing imply that there should not be a relationship between the Canadian exchange rate and foreign takeovers of Canadian firms because an exchange rate movement does not give foreign buyers a systematic advantage over domestic buyers. Purchases of domestic firms by foreign residents are likely to be welfare-improving. Transactions between foreign and domestic residents are voluntary, and they imply that the foreign buyers expect to obtain higher profits from the firms' assets.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rates
Currency Fluctuations, Liability Dollarization, and the Choice of Exchange Rate Regimes in Emerging Markets
Staff Working Paper 2002-6
Patrick Osakwe
Traditional models of exchange rate regimes ignore the destabilizing effects of sharp and unanticipated exchange rate movements.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes
JEL Code(s):
E,
E5,
E52,
F,
F3,
F31,
F4,
F41
November 15, 2001
Conference Summary: Revisiting the Case for Flexible Exchange Rates
This article summarizes the proceedings of an international research conference hosted by the Bank of Canada in November 2000. The conference marked the fiftieth anniversary of Canada's adoption of a flexible exchange rate, and its title recognizes the seminal contribution of Professor Milton Friedman's article "The Case for Flexible Exchange Rates." His keynote address to the conference is also summarized in the article. The conference papers re-examine many of the arguments raised by Friedman using recent developments in economic theory and econometric techniques. They investigate the experience of a wide range of industrialized and emerging-market economies. The main findings are that a strong case can be made for flexible exchange rates in economies that are large commodity exporters and that have credible low-inflation monetary policies and relatively well-developed financial systems.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rate regimes,
Exchange rates
May 17, 2001
Reforming the International Financial System
This article examines the efforts of the major advanced countries to strengthen the international financial system in order to avoid financial crises such as those that occurred in emerging-market economies in the 1990s. These efforts have focused on crisis prevention and crisis management. The prevention of such crises has necessitated the formation of new international groups that include emerging markets in their membership. Measures have also been taken to reduce the vulnerability of countries to such crises. These measures have centered on the need for appropriate macroeconomic policies, including the need for sustainable exchange rate regimes, sound domestic financial systems, and prudent risk management. In the area of crisis management, the International Monetary Fund (IMF) has been given access to additional resources for lending to countries that experience financial crises. The IMF has also established new lending facilities for use in such circumstances. It has also been agreed that the private sector will need to play a greater role in the management of such crises in the future.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rate regimes,
International topics
On Commodity-Sensitive Currencies and Inflation Targeting
Staff Working Paper 2001-3
Kevin Clinton
Two aspects of the recent monetary history of Canada, Australia, and New Zealand stand out: the sensitivity of their dollars to prices of resource-based commodities, and inflation targeting. This paper explores various aspects of these phenomena.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Inflation targets,
International topics,
Monetary policy implementation
JEL Code(s):
E,
E3,
E31,
E5,
E52,
F,
F3,
F31,
F4,
F42
The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables
Staff Working Paper 2000-23
Nikola Gradojevic,
Jing Yang
Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates
JEL Code(s):
C,
C4,
C45,
F,
F3,
F31
Modelling Risk Premiums in Equity and Foreign Exchange Markets
Staff Working Paper 2000-9
René Garcia,
Maral Kichian
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets,
Market structure and pricing
JEL Code(s):
E,
E4,
E44,
F,
F3,
F31,
G,
G1,
G12,
G15
International Financial Crises and Flexible Exchange Rates: Some Policy Lessons from Canada
Technical Report No. 88
John Murray,
Mark Zelmer,
Zahir Antia
This paper examines the behaviour of the Canadian dollar from 1997 to 1999 to see if there is any evidence of excess volatility or significant overshooting. A small econometric model of the exchange rate, based on market fundamentals, is presented and used to make tentative judgments about the extent to which the currency might have been systematically over- or undervalued.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Exchange rate regimes,
Exchange rates
JEL Code(s):
F,
F3,
F31