G15 - International Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-19T03:41:02+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 Volatility2018-12-05Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?
https://www.bankofcanada.ca/2018/11/staff-working-paper-2018-55/
Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four predictions.2018-11-15T09:23:24+00:00enMacroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?2018-11-15Exchange ratesFinancial institutionsFinancial system regulation and policiesInternational financial marketsStaff Working Paper 2018-55https://www.bankofcanada.ca/wp-content/uploads/2018/11/swp2018-55.pdfMacroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?Toni AhnertKristin ForbesChristian FriedrichDennis ReinhardtNovember 2018FF3F32F34GG1G15G2G21G28Assessing Vulnerabilities in Emerging-Market Economies
https://www.bankofcanada.ca/2018/10/staff-discussion-paper-2018-13/
This paper introduces a new tool to monitor economic and financial vulnerabilities in emerging-market economies. We obtain vulnerability indexes for several early warning indicators covering 26 emerging markets from 1990 to 2017 and use them to monitor the evolution of vulnerabilities before, during and after an economic or financial crisis.2018-10-30T11:19:30+00:00enAssessing Vulnerabilities in Emerging-Market Economies2018-10-30International topicsMonetary and financial indicatorsRecent economic and financial developmentsStaff Discussion Paper 2018-13https://www.bankofcanada.ca/wp-content/uploads/2018/10/SDP2018-13.pdfAssessing Vulnerabilities in Emerging-Market EconomiesTatjana DahlhausAlexander LamOctober 2018CC8C82FF3F34GG0G01G1G15The Size and Destination of China’s Portfolio Outflows
https://www.bankofcanada.ca/2018/10/staff-discussion-paper-2018-11/
The size of China’s financial system raises the possibility that the liberalization of its capital account could have a large effect on the global financial system. This paper provides a counterfactual scenario analysis that estimates what the size and direction of China’s overseas portfolio investments would have been in 2015 if China had had no restrictions on these outflows.2018-10-03T08:17:42+00:00enThe Size and Destination of China’s Portfolio Outflows2018-10-03Balance of payments and componentsEconometric and statistical methodsInternational topicsStaff Discussion Paper 2018-11https://www.bankofcanada.ca/wp-content/uploads/2018/10/sdp2018-11.pdfThe Size and Destination of China’s Portfolio OutflowsRose CunninghamEden HatzviKun MoOctober 2018CC2C23FF2F21F3F32GG1G15The BoC-BoE Sovereign Default Database Revisited: What’s New in 2018?
https://www.bankofcanada.ca/2018/07/staff-working-paper-2018-30/
Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website that now is updated in partnership with the Bank of England.2018-07-12T13:59:20+00:00enThe BoC-BoE Sovereign Default Database Revisited: What’s New in 2018?2018-07-12Debt managementDevelopment economicsFinancial stabilityInternational financial marketsStaff Working Paper 2018-30https://www.bankofcanada.ca/wp-content/uploads/2018/07/swp2018-30.pdfThe BoC-BoE Sovereign Default Database Revisited: What’s New in 2018?David BeersJamshid MavalwallaJuly 2018FF3F34GG1G10G14G15Uncovered Return Parity: Equity Returns and Currency Returns
https://www.bankofcanada.ca/2018/05/staff-working-paper-2018-22/
We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency.2018-05-14T14:47:01+00:00enUncovered Return Parity: Equity Returns and Currency Returns2018-05-14Asset pricingExchange ratesInternational financial marketsStaff Working Paper 2018-22https://www.bankofcanada.ca/wp-content/uploads/2018/05/swp2018-22.pdfUncovered Return Parity: Equity Returns and Currency ReturnsEdouard DjeutemGeoffrey R. DunbarMay 2018EE4E43FF3F31GG1G15