F3 - International Finance - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T23:05:21+00:00A Structural VAR Approach to the Intertemporal Model of the Current Account
https://www.bankofcanada.ca/2003/12/working-paper-2003-42/
The intertemporal current account approach predicts that the current account of a small open economy is independent of global shocks, and that responses of the current account to country-specific shocks depend on the persistence of the shocks. The author shows that these predictions impose cross-equation restrictions (CERS) on a structural vector autoregression (SVAR).2003-12-06T15:59:31+00:00enA Structural VAR Approach to the Intertemporal Model of the Current Account2003-12-06Balance of payments and componentsMonetary aggregatesWorking Paper 2003-42 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-42.pdfA Structural VAR Approach to the Intertemporal Model of the Current AccountTakashi KanoDecember 2003FF3F32F4F41Anatomy of a Twin Crisis
https://www.bankofcanada.ca/2003/12/working-paper-2003-41/
The author presents a model of a twin crisis, in which foreign and domestic residents play a banking game. Both "honest" and run equilibria of the post-deposit subgame exist; some run equilibria lead to a currency crisis, as agents convert domestic currency to foreign currency.2003-12-05T14:59:52+00:00enAnatomy of a Twin Crisis2003-12-05Exchange ratesFinancial institutionsWorking Paper 2003-41 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-41.pdfAnatomy of a Twin CrisisRaphael SolomonDecember 2003EE5E58FF3F30GG2G21Simple Monetary Policy Rules in an Open-Economy, Limited-Participation Model
https://www.bankofcanada.ca/2003/12/working-paper-2003-38/
The authors assess the stabilization properties of simple monetary policy rules within the context of a small open-economy model constructed around the limited-participation assumption and calibrated to salient features of the Canadian economy. By relying on limited participation as the main nominal friction that affects the artificial economy, the authors provide an important check of the robustness of the results obtained using alternative environments in the literature on monetary policy rules, most notably the now-standard "New Keynesian" paradigm that emphasizes rigidities in the price-setting mechanism.2003-12-02T16:15:30+00:00enSimple Monetary Policy Rules in an Open-Economy, Limited-Participation Model2003-12-02Monetary policy frameworkMonetary policy transmissionWorking Paper 2003-38 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-38.pdfSimple Monetary Policy Rules in an Open-Economy, Limited-Participation ModelScott HendryWai-Ming HoKevin MoranDecember 2003EE4E44E5E52E58FF3F31Real Exchange Rate Persistence in Dynamic General-Equilibrium Sticky-Price Models: An Analytical Characterization
https://www.bankofcanada.ca/2003/11/working-paper-2003-35/
This paper assesses analytically the ability of dynamic general-equilibrium sticky-price models to generate persistent real exchange rate fluctuations. It develops a tractable general-equilibrium model with Calvo-type price stickiness.2003-11-01T15:10:14+00:00enReal Exchange Rate Persistence in Dynamic General-Equilibrium Sticky-Price Models: An Analytical Characterization2003-11-01Economic modelsExchange ratesInternational topicsWorking Paper 2003-35 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-35.pdfReal Exchange Rate Persistence in Dynamic General-Equilibrium Sticky-Price Models: An Analytical CharacterizationHafedh BouakezNovember 2003FF3F31F4F41Nominal Rigidities and Exchange Rate Pass-Through in a Structural Model of a Small Open Economy
https://www.bankofcanada.ca/2003/09/working-paper-2003-29/
The authors analyze exchange rate pass-through in an estimated structural model of a small open economy that incorporates three types of nominal rigidity (wages and the prices of domestically produced and imported goods) and eight different structural shocks. The model is estimated using quarterly data from Canada and the United States.2003-09-05T09:26:47+00:00enNominal Rigidities and Exchange Rate Pass-Through in a Structural Model of a Small Open Economy2003-09-05Business fluctuations and cyclesEconomic modelsExchange ratesInflation and pricesInternational topicsWorking Paper 2003-29 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-29.pdfNominal Rigidities and Exchange Rate Pass-Through in a Structural Model of a Small Open EconomySteve AmblerAli DibNooman RebeiSeptember 2003FF2F3F31F33Monetary Policy in Estimated Models of Small Open and Closed Economies
https://www.bankofcanada.ca/2003/09/working-paper-2003-27/
The author develops and estimates a quantitative dynamic-optimizing model of a small open economy (SOE) with domestic and import price stickiness and capital-adjustment costs. A monetary policy rule allows the central bank to systematically manage the short-term nominal interest rate in response to deviations of inflation, output, and money growth from their steadystate levels.2003-09-03T12:34:40+00:00enMonetary Policy in Estimated Models of Small Open and Closed Economies2003-09-03Business fluctuations and cyclesExchange ratesMonetary policy transmissionWorking Paper 2003-27 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-27.pdfMonetary Policy in Estimated Models of Small Open and Closed EconomiesAli DibSeptember 2003EE3E31E5E52FF2F3Modélisation et prévision du taux de change réel effectif américain
https://www.bankofcanada.ca/2003/02/working-paper-2003-3/
This study describes a simple model for predicting the real U.S. exchange rate. Starting with a large number of error-correction models, the authors choose the one giving the best out-of-sample forecasts over the period 1992Q3–2002Q1.2003-02-01T16:15:49+00:00frModélisation et prévision du taux de change réel effectif américain2003-02-01Econometric and statistical methodsEconomic modelsExchange ratesInternational topicsWorking Paper 2003-3 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-3.pdfModélisation et prévision du taux de change réel effectif américainRené LalondePatrick SabourinFebruary 2003EE1E17FF3F31F4F47Banking Crises and Contagion: Empirical Evidence
https://www.bankofcanada.ca/2003/02/working-paper-2003-1/
Recent events, such as the East Asian, Mexican, Scandinavian, and Argentinian crises, have sparked considerable interest in exploring how shocks experienced by one country can spread vis-à-vis real and nominal links to other countries' banking systems. Given the large costs associated with banking-system failures, both economists and policy-makers are interested in predicting the onset of banking crises and assessing the likelihood of contagion during crisis events.2003-02-01T15:36:05+00:00enBanking Crises and Contagion: Empirical Evidence2003-02-01International topicsWorking Paper 2003-1 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-1.pdfBanking Crises and Contagion: Empirical EvidenceEric SantorFebruary 2003FF3F30GG2G20