F31 - Foreign Exchange - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:56:54+00:00The Turning Black Tide: Energy Prices and the Canadian Dollar
https://www.bankofcanada.ca/2006/08/working-paper-2006-29/
The authors revisit the relationship between energy prices and the Canadian dollar in the Amano and van Norden (1995) equation, which shows a negative relationship such that higher real energy prices lead to a depreciation of the Canadian dollar.2006-08-04T15:55:16+00:00enThe Turning Black Tide: Energy Prices and the Canadian Dollar2006-08-04Econometric and statistical methodsExchange ratesWorking Paper 2006-29 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-29.pdfThe Turning Black Tide: Energy Prices and the Canadian DollarRamzi IssaRobert LafranceJohn MurrayAugust 2006FF3F31Can Affine Term Structure Models Help Us Predict Exchange Rates?
https://www.bankofcanada.ca/2006/08/working-paper-2006-27/
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression.2006-08-02T15:35:26+00:00enCan Affine Term Structure Models Help Us Predict Exchange Rates?2006-08-02Econometric and statistical methodsExchange ratesInterest ratesWorking Paper 2006-27 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-27.pdfCan Affine Term Structure Models Help Us Predict Exchange Rates?Antonio Diez de los RiosAugust 2006EE4E43FF3F31GG1G12G15A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
https://www.bankofcanada.ca/2006/03/working-paper-2006-8/
Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.2006-03-06T12:54:32+00:00enA Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market2006-03-06Exchange ratesFinancial marketsWorking Paper 2006-8 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-8.pdfA Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order MarketIngrid LoStephen SappMarch 2006CC3DD8FF3F31Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada
https://www.bankofcanada.ca/2006/02/working-paper-2006-2/
The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through.2006-02-02T12:12:22+00:00enStructural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada2006-02-02Econometric and statistical methodsWorking Paper 2006-2 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-2.pdfStructural Change in Covariance and Exchange Rate Pass-Through: The Case of CanadaLynda KhalafMaral KichianFebruary 2006CC5C52EE3E31FF3F31F4F40