Exchange rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T06:46:48+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 Volatility2018-12-05Markets Look Beyond the Headline
https://www.bankofcanada.ca/2018/11/staff-analytical-note-2018-37/
Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data.2018-11-23T10:35:25+00:00enMarkets Look Beyond the Headline2018-11-23Macroprudential 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 2018FF3F32F34GG1G15G2G21G28Uncovered 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 2018EE4E43FF3F31GG1G15The 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