October 15, 2007
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172
result(s)
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
Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets
Staff Working Paper 2007-29
Antonio Diez de los Rios
This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime on the cost of capital and the integration of emerging financial markets. Since there is evidence that a fixed exchange rate regime reduces the currency risk premia demanded by foreign investors, the tentative conclusion is that a fixed exchange rate regime system can help reduce the cost of capital in emerging markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
Exchange rate regimes
JEL Code(s):
F,
F3,
F30,
F33,
G,
G1,
G15
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
October 3, 2006
A New Effective Exchange Rate Index for the Canadian Dollar
An effective exchange rate is a measure of the value of a country's currency vis-à-vis the currencies of its most important trading partners. The Bank of Canada has created a new Canadian-dollar effective exchange rate index (CERI) to replace the C-6 index that it currently uses. The CERI uses multilateral trade weights published by the International Monetary Fund and includes the six currencies of countries or economic zones with the largest share of Canada's international trade. As such, it better reflects the recent changes in Canada's trade profile, including the rise in the importance of China and Mexico and the relative decline in importance of Europe and Japan in Canada's international trade. The author describes the methodology and construction of the new index and reviews the advantages it offers over the C-6, particularly the use of multilateral trade weights, the inclusion of trade in services, and the use of more recent trade data.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rates,
Financial markets,
Monetary and financial indicators
Multinationals and Exchange Rate Pass-Through
Staff Working Paper 2006-30
Alexandra Lai,
Oana Secrieru
The authors examine the impact of multinational enterprises (MNEs) on exchange rate pass-through in an environment where an MNE engages in Cournot (quantity) competition with domestic and foreign rivals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Exchange rates,
Market structure and pricing
JEL Code(s):
F,
F2,
F23,
L,
L1,
L16
The Turning Black Tide: Energy Prices and the Canadian Dollar
Staff Working Paper 2006-29
Ramzi Issa,
Robert Lafrance,
John Murray
The authors revisit the relationship between energy prices and the Canadian dollar in the Amano and van Norden (1995) equation, which shows a negative relationship such that higher real energy prices lead to a depreciation of the Canadian dollar.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Exchange rates
JEL Code(s):
F,
F3,
F31