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An Up-to-Date and Improved BVAR Model of the Canadian Economy

Staff Working Paper 1994-4 Daniel Racette, Jacques Raynauld, Christian Sigouin
In this paper, we estimate a fully optimized BVAR model of the Canadian economy for the period 1971-87. The model is well-adapted to the features of a small open economy. We show how it can be used as an input in the monetary policy process either as a forecasting instrument or an analytical tool.

Optimum Currency Areas and Shock Asymmetry: A Comparison of Europe and the United States

Staff Working Paper 1994-1 Nick Chamie, Alain DeSerres, René Lalonde
Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate.
Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): C, C4, C40, G, G1, G12
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