Jean-Sébastien Fontaine - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T13:22:00+00:00The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-39/
We identify a few Bank of Canada press releases that had the largest immediate impact on the exchange rate market. We find that volatility increases after these releases, but the effect is short-lived and mostly dissipates after the first hour, on average. Beyond the first hour, the size of the effect is similar to what we observe for other economic releases, such as those for inflation or economic growth data.2018-12-05T12:15:36+00:00enThe Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility2018-12-05The Share of Systematic Variations in the Canadian Dollar—Part III
https://www.bankofcanada.ca/2018/05/staff-analytical-note-2018-13/
We draw a parallel between the dramatic increases of systematic variations in exchange rates and international bank lending. We find that when a country’s currency has a larger share of systematic variations, lending flows by international banks to that country become more sensitive to global lending - they also become more systematic. This parallel is particularly prevalent for large commodity exporters, including Canada. Global financial intermediation may open a new channel between the real economy and exchange rates.2018-05-07T06:00:27+00:00enThe Share of Systematic Variations in the Canadian Dollar—Part III2018-05-07