F3 - International Finance - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T11:16:04+00:00The Impacts of Monetary Policy Statements
https://www.bankofcanada.ca/2017/11/staff-analytical-note-2017-22/
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary policy earlier than previously expected, the Canadian dollar appreciates (or depreciates) and long-term Government of Canada bond yields increase (or decrease). The tone of a statement is particularly relevant to the market when the policy rate has been unchanged for some time.2017-11-24T09:18:40+00:00enThe Impacts of Monetary Policy Statements2017-11-24Understanding the Time Variation in Exchange Rate Pass-Through to Import Prices
https://www.bankofcanada.ca/2017/11/staff-discussion-paper-2017-12/
In this paper, we analyze the presence of time variation in the pass-through from the nominal effective exchange rate to import prices for 24 advanced economies over the period 1995–2015. In line with earlier studies in the literature, we find substantial heterogeneity in the level of exchange rate pass-through across countries.2017-11-10T11:50:58+00:00enUnderstanding the Time Variation in Exchange Rate Pass-Through to Import Prices2017-11-10Exchange ratesInflation and pricesInternational topicsMonetary policy transmissionStaff Discussion Paper 2017-12https://www.bankofcanada.ca/wp-content/uploads/2017/11/sdp2017-12.pdfUnderstanding the Time Variation in Exchange Rate Pass-Through to Import PricesRose CunninghamMin Jae KimChristian FriedrichKristina HessNovember 2017EE3E31FF3F31F4F41Can the Canadian International Investment Position Stabilize a Slowing Economy?
https://www.bankofcanada.ca/2017/10/staff-analytical-note-2017-14/
In this note, we find that valuation effects can act as an important stabilizer, strengthening Canada’s net external wealth when its economic outlook worsens relative to that of other countries.2017-10-17T11:27:28+00:00enCan the Canadian International Investment Position Stabilize a Slowing Economy?2017-10-17Policy Rules for Capital Controls
https://www.bankofcanada.ca/2017/10/staff-working-paper-2017-42/
This paper attempts to borrow the tradition of estimating policy reaction functions in monetary policy literature and apply it to capital controls policy literature. Using a novel weekly dataset on capital controls policy actions in 21 emerging economies over the period 1 January 2001 to 31 December 2015, I examine the mercantilist and macroprudential motivations for capital control policies.2017-10-05T08:53:59+00:00enPolicy Rules for Capital Controls2017-10-05Exchange rate regimesFinancial stabilityFinancial system regulation and policiesInternational topicsStaff Working Paper 2017-42https://www.bankofcanada.ca/wp-content/uploads/2017/10/swp2017-42.pdfPolicy Rules for Capital ControlsGurnain PasrichaOctober 2017FF3F4F5GG0G1Global Trade Flows: Revisiting the Exchange Rate Elasticities
https://www.bankofcanada.ca/2017/09/staff-working-paper-2017-41/
This paper contributes to the debate on the magnitude of exchange rate elasticities by providing a set of price and quantity elasticities for 51 advanced and emerging-market economies. Specifically, for each of these countries we report the elasticity of trade prices and trade quantities on both the export and on the import sides, as well as the reaction of the trade balance.2017-09-29T13:16:42+00:00enGlobal Trade Flows: Revisiting the Exchange Rate Elasticities2017-09-29Exchange ratesInflation and pricesInternational topicsStaff Working Paper 2017-41https://www.bankofcanada.ca/wp-content/uploads/2017/09/swp2017-41.pdfGlobal Trade Flows: Revisiting the Exchange Rate ElasticitiesMatthieu BussièreGuillaume GaulierWalter SteingressSeptember 2017CC5C51FF1F14F3F31F33F4F41Cross-Border Bank Flows and Monetary Policy: Implications for Canada
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-34/
Using the Bank for International Settlements (BIS) Locational Banking Statistics data on bilateral bank claims from 1995 to 2014, we analyze the impact of monetary policy on cross-border bank flows. We find that monetary policy in a source country is an important determinant of cross-border bank flows.2017-08-17T14:21:41+00:00enCross-Border Bank Flows and Monetary Policy: Implications for Canada2017-08-17Financial institutionsMonetary policyStaff Working Paper 2017-34https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-34.pdfCross-Border Bank Flows and Monetary Policy: Implications for CanadaRicardo CorreaTeodora PaligorovaHoracio SaprizaAndrei ZlateAugust 2017FF3F34F36GG0G01Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-33/
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability.2017-08-10T07:38:59+00:00enOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions2017-08-10Asset pricingEconometric and statistical methodsExchange ratesInterest ratesStaff Working Paper 2017-33https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-33.pdfOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear RegressionsAntonio Diez de los RiosAugust 2017EE4E43FF3F31GG1G12G15Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals
https://www.bankofcanada.ca/2017/06/staff-working-paper-2017-22/
This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps.2017-06-19T09:10:04+00:00enDetecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals2017-06-19Econometric and statistical methodsExchange ratesInternational financial marketsStaff Working Paper 2017-22https://www.bankofcanada.ca/wp-content/uploads/2017/06/swp2017-22.pdfDetecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic FundamentalsLorenzo PozziBarbara SadabaJune 2017CC3C32FF3F31GG1G15What Explains Month-End Funding Pressure in Canada?
https://www.bankofcanada.ca/2017/06/staff-discussion-paper-2017-9/
The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon.2017-06-13T11:10:19+00:00enWhat Explains Month-End Funding Pressure in Canada?2017-06-13Financial marketsInterest ratesMonetary policy frameworkMonetary policy implementationMonetary policy transmissionStaff Discussion Paper 2017-9https://www.bankofcanada.ca/wp-content/uploads/2017/06/sdp2017-9.pdfWhat Explains Month-End Funding Pressure in Canada?Christopher S. SutherlandJune 2017EE4E41E43E5E52E58FF3F36GG1G14G15G2G21Canada’s International Investment Position: Benefits and Potential Vulnerabilities
https://www.bankofcanada.ca/wp-content/uploads/2017/06/fsr-june17-bruneau.pdf
While greater global financial integration is beneficial, the authors discuss how foreign capital inflows can also facilitate the buildup of domestic vulnerabilities and potentially lead to destabilizing reversals. Canada’s current international investment position is typical of advanced economies and will likely continue to act as an economic stabilizer. However, the growth and composition of Canada’s international investment position warrant continued monitoring.2017-06-08T10:30:50+00:00enCanada’s International Investment Position: Benefits and Potential Vulnerabilities2017-06-08