Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T14:52:49+00:00The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables
https://www.bankofcanada.ca/2000/12/working-paper-2000-23/
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.2000-12-08T16:19:34+00:00enThe Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables2000-12-08Exchange ratesWorking Paper 2000-23 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-23.pdfThe Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure VariablesNikola GradojevicJing YangDecember 2000CC4C45FF3F31Une analyse empirique du lien entre la productivité et le taux de change réel Canada-É-U
https://www.bankofcanada.ca/2000/11/working-paper-2000-22/
The relative productivity gap between Canada and the United States is a controversial subject matter. One argument especially contentious in this debate stems from the belief that the gradual depreciation of the Canadian dollar over the last 20 years has been one of the determinants of the productivity gap.2000-11-08T16:14:44+00:00frUne analyse empirique du lien entre la productivité et le taux de change réel Canada-É-U2000-11-08Working Paper 2000-22https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-22.pdfUne analyse empirique du lien entre la productivité et le taux de change réel Canada-É-UDavid DupuisDavid TessierNovember 2000Steps in Applying Extreme Value Theory to Finance: A Review
https://www.bankofcanada.ca/2000/11/working-paper-2000-20/
Extreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios.2000-11-08T15:54:29+00:00enSteps in Applying Extreme Value Theory to Finance: A Review2000-11-08Financial marketsWorking Paper 2000-20 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-20.pdfSteps in Applying Extreme Value Theory to Finance: A ReviewYounes BensalahNovember 2000CC0C4C5GG1Le modèle USM d'analyse et de projection de l'économie américaine
https://www.bankofcanada.ca/2000/10/working-paper-2000-19/
In this study, the author presents a new forecast and analysis model for the U.S. economy (i.e., the USM model) constructed at the Bank of Canada. The USM has a number of advantages over its predecessor, the VSM model.2000-10-08T15:50:12+00:00frLe modèle USM d'analyse et de projection de l'économie américaine2000-10-08Working paper 2000-19 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-19.pdfLe modèle USM d'analyse et de projection de l'économie américaineRené LalondeOctober 2000Les effets réels du cours des actions sur la consommation
https://www.bankofcanada.ca/2000/09/working-paper-2000-21/
During the nineties, stock prices increased remarkably. The number of households owning stocks also rose considerably. If stock market wealth has an effect on consumers' decisions, then the rise in equity prices could have contributed to the growth in consumption in recent years.2000-09-08T16:00:33+00:00frLes effets réels du cours des actions sur la consommation2000-09-08Working Paper 2000-21https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-21.pdfLes effets réels du cours des actions sur la consommationLise PichetteSeptember 2000Inflation and the Tax System in Canada: An Exploratory Partial-Equilibrium Analysis
https://www.bankofcanada.ca/2000/09/working-paper-2000-18/
This paper reports on an exploratory application to Canadian data of an approach pioneered by Martin Feldstein (1997, 1999). Feldstein finds that even at low inflation rates there are costs arising from the distortions introduced by the interaction of inflation with the taxation of income from capital (capital gains, dividends, and interest) in a less-than-perfectly-indexed tax system.2000-09-08T15:40:23+00:00enInflation and the Tax System in Canada: An Exploratory Partial-Equilibrium Analysis2000-09-08Inflation: costs and benefitsWorking Paper 2000-18 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-18.pdfInflation and the Tax System in Canada: An Exploratory Partial-Equilibrium AnalysisBrian O'ReillyMylène LevacSeptember 2000EE5E6A Practical Guide to Swap Curve Construction
https://www.bankofcanada.ca/2000/08/working-paper-2000-17/
The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure.2000-08-08T15:32:10+00:00enA Practical Guide to Swap Curve Construction2000-08-08Asset pricingInternational financial marketsWorking Paper 2000-17 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-17.pdfA Practical Guide to Swap Curve ConstructionUri RonAugust 2000GG1G12G15Volatility Transmission Between Foreign Exchange and Money Markets
https://www.bankofcanada.ca/2000/08/working-paper-2000-16/
This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.2000-08-08T15:26:41+00:00enVolatility Transmission Between Foreign Exchange and Money Markets2000-08-08International financial marketsWorking Paper 2000-16 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-16.pdfVolatility Transmission Between Foreign Exchange and Money MarketsShafiq K. EbrahimAugust 2000GG1G15Private Capital Flows, Financial Development, and Economic Growth in Developing Countries
https://www.bankofcanada.ca/2000/07/working-paper-2000-15/
An important issue in the debate over the desirability of freer capital mobility for developing countries is whether capital flows have significant effects on economic growth. Proponents of capital account liberalization cite the growth-promoting attributes of capital inflows as a key benefit of financial integration for developing countries.2000-07-08T12:48:15+00:00enPrivate Capital Flows, Financial Development, and Economic Growth in Developing Countries2000-07-08International topicsWorking Paper 2000-15 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-15.pdfPrivate Capital Flows, Financial Development, and Economic Growth in Developing CountriesJeannine BailliuJuly 2000FF2F21F4F43OO5O50Employment Effects Of Nominal-Wage Rigidity: An Examination Using Wage-Settlements Data
https://www.bankofcanada.ca/2000/07/working-paper-2000-14/
The argument advocating a moderate level of inflation based on the downward nominal-wage rigidity (DNWR) hypothesis rests on three factors: its presence, extent, and negative impact in the labour market. This paper focuses on the employment effect of DNWR.2000-07-08T10:29:38+00:00enEmployment Effects Of Nominal-Wage Rigidity: An Examination Using Wage-Settlements Data2000-07-08Labour marketsWorking Paper 2000-14 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-14.pdfEmployment Effects Of Nominal-Wage Rigidity: An Examination Using Wage-Settlements DataUmar FaruquiJuly 2000CC2C23JJ2J23J3J30