Exchange rates

• Testing Uncovered Interest Parity: A Continuous-Time Approach

  Staff Working Paper 2007-53 Antonio Diez de los Rios, Enrique Sentana

  Nowadays researchers can choose the sampling frequency of exchange rates and interest rates.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): F, F3, F31, G, G1, G15

• Where Does Price Discovery Occur in FX Markets?

  Staff Working Paper 2007-52 Chris D'Souza

  Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15
• October 15, 2007

  The Global Foreign Exchange Market: Growth and Transformation

  Bank of Canada Review - Autumn 2007 William Barker

  Barker examines changes in the foreign exchange market, which is in a period of transition. Since the mid-1990s, three closely inter-related and mutually reinforcing factors–electronic trading platforms, a changing mix of market participants, and computer-driven algorithmic trading strategies–have been accelerating market growth and are creating a profound structural transformation. As the balance of market participation shifts between bank and non-bank accounts, large and small participants, and domestic and global players, the market is adopting some of the characteristics of an "exchange" model and is arguably becoming more liquid and operationally efficient.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Exchange rates, Financial institutions, Financial markets

• Canada's Pioneering Experience with a Flexible Exchange Rate in the 1950s: (Hard) Lessons Learned for Monetary Policy in a Small Open Economy

  Staff Working Paper 2007-45 Michael Bordo, Ali Dib, Lawrence L. Schembri

  This paper revisits Canada's pioneering experience with floating exchange rate over the period 1950–1962. It examines whether the floating rate was the best option for Canada in the 1950s by developing and estimating a New Keynesian small open economy model of the Canadian economy.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Exchange rates JEL Code(s): E, E3, E32, E37, F, F3, F31, F32, N, N1

• Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies

  Staff Working Paper 2007-41 Jeannine Bailliu, Ali Dib, Takashi Kano, Lawrence L. Schembri

  In this paper, we empirically investigate whether multilateral adjustment to large U.S. external imbalances can help explain movements in the bilateral exchange rates of three commodity currencies – the Australian, Canadian and New Zealand (ACNZ) dollars.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): C, C1, C11, C2, C22, F, F3, F31, F32

• Gold Prices and Inflation

  Staff Working Paper 2007-35 Greg Tkacz

  Using data for 14 countries over the 1994 to 2005 period, we assess the leading indicator properties of gold at horizons ranging from 6 to 24 months.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices JEL Code(s): E, E3, E31, E4, E44

• Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?

  Staff Working Paper 2007-23 Ingrid Lo, Stephen Sapp

  Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): G, G1, G14

• A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate

  Staff Working Paper 2007-21 Fousseni Chabi-Yo, Jun Yang

  We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries on their yield curves and the exchange rate.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Econometric and statistical methods, Exchange rates, Financial markets, Interest rates JEL Code(s): E, E1, E12, E4, E43, F, F4, F41, G, G1, G12, G15