Nominal Rigidities and Exchange Rate Pass-Through in a Structural Model of a Small Open Economy Staff Working Paper 2003-29 Steve Ambler, Ali Dib, Nooman Rebei The authors analyze exchange rate pass-through in an estimated structural model of a small open economy that incorporates three types of nominal rigidity (wages and the prices of domestically produced and imported goods) and eight different structural shocks. The model is estimated using quarterly data from Canada and the United States. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Exchange rates, Inflation and prices, International topics JEL Code(s): F, F2, F3, F31, F33
Modélisation et prévision du taux de change réel effectif américain Staff Working Paper 2003-3 René Lalonde, Patrick Sabourin This study describes a simple model for predicting the real U.S. exchange rate. Starting with a large number of error-correction models, the authors choose the one giving the best out-of-sample forecasts over the period 1992Q3–2002Q1. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models, Exchange rates, International topics JEL Code(s): E, E1, E17, F, F3, F31, F4, F47
How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk? Staff Working Paper 2002-34 Chris D'Souza This paper examines the daily hedging and risk-management practices of financial intermediaries in the Canadian foreign exchange (FX) market. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G14, G2, G21
Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence Staff Working Paper 2002-31 Céline Gauthier, David Tessier In this paper, we study the impact of supply shocks on the Canadian real exchange rate. We specify a structural vector-error-correction model that links the real exchange rate to different fundamentals. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates JEL Code(s): C, C3, C32, F, F3, F31
Nominal Rigidity, Desired Markup Variations, and Real Exchange Rate Persistence Staff Working Paper 2002-26 Hafedh Bouakez This paper develops and estimates a dynamic general-equilibrium sticky-price model that accounts for real exchange rate persistence. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Market structure and pricing, Monetary policy transmission JEL Code(s): F, F3, F31, F4, F41
Does Exchange Rate Policy Matter for Growth? Staff Working Paper 2002-17 Jeannine Bailliu, Robert Lafrance, Jean-François Perrault Previous studies on whether the nature of the exchange rate regime influences a country's medium-term growth performance have been based on a tripartite classification scheme that distinguishes between pegged, intermediate, and flexible exchange rate regimes. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes, Exchange rates, Monetary policy framework JEL Code(s): F, F3, F31, F33, F4, F43, O, O4, O40
A Market Microstructure Analysis of Foreign Exchange Intervention in Canada Staff Working Paper 2002-16 Chris D'Souza This paper clarifies the role and the impact of foreign exchange dealers in the relationship between foreign exchange intervention and nominal exchange rates using a unique dataset that disaggregates trades by dealer and by type of trade. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial institutions, Financial markets JEL Code(s): F, F3, F31, G, G1, G14, G2, G21
Currency Fluctuations, Liability Dollarization, and the Choice of Exchange Rate Regimes in Emerging Markets Staff Working Paper 2002-6 Patrick Osakwe Traditional models of exchange rate regimes ignore the destabilizing effects of sharp and unanticipated exchange rate movements. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes JEL Code(s): E, E5, E52, F, F3, F31, F4, F41
On Commodity-Sensitive Currencies and Inflation Targeting Staff Working Paper 2001-3 Kevin Clinton Two aspects of the recent monetary history of Canada, Australia, and New Zealand stand out: the sensitivity of their dollars to prices of resource-based commodities, and inflation targeting. This paper explores various aspects of these phenomena. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Inflation targets, International topics, Monetary policy implementation JEL Code(s): E, E3, E31, E5, E52, F, F3, F31, F4, F42
The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables Staff Working Paper 2000-23 Nikola Gradojevic, Jing Yang Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates JEL Code(s): C, C4, C45, F, F3, F31