F3 - International Finance
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Modelling Risk Premiums in Equity and Foreign Exchange Markets
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. -
International Financial Crises and Flexible Exchange Rates: Some Policy Lessons from Canada
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. -
Quelques résultats empiriques relatifs à l'évolution du taux de change Canada/États-Unis
This paper explores the extent to which factors other than commodity and energy prices may have contributed to the Canadian dollar's depreciation since the early 1970s. The variables considered include among others budgetary conditions and productivity.