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 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 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 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 Topic(s): Exchange rates JEL Code(s): C, C4, C45, F, F3, F31
Modelling Risk Premiums in Equity and Foreign Exchange Markets Staff Working Paper 2000-9 René Garcia, Maral Kichian The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, F, F3, F31, G, G1, G12, G15
International Financial Crises and Flexible Exchange Rates: Some Policy Lessons from Canada Technical Report No. 88 John Murray, Mark Zelmer, Zahir Antia This paper examines the behaviour of the Canadian dollar from 1997 to 1999 to see if there is any evidence of excess volatility or significant overshooting. A small econometric model of the exchange rate, based on market fundamentals, is presented and used to make tentative judgments about the extent to which the currency might have been systematically over- or undervalued. Content Type(s): Staff research, Technical reports Topic(s): Exchange rate regimes, Exchange rates JEL Code(s): F, F3, F31
Quelques résultats empiriques relatifs à l'évolution du taux de change Canada/États-Unis Staff Working Paper 2000-4 Ramdane Djoudad, David Tessier This paper explores the extent to which factors other than commodity and energy prices may have contributed to the Canadian dollar's depreciation since the early 1970s. The variables considered include among others budgetary conditions and productivity. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates JEL Code(s): F, F3, F31
Why Canada Needs a Flexible Exchange Rate Staff Working Paper 1999-12 John Murray This paper explores the arguments for and against a common currency for Canada and the United States and attempts to determine whether such an arrangement would offer any significant advantages for Canada compared with the present flexible exchange rate system. The paper first reviews the theoretical arguments advanced in the economics literature in support of fixed and flexible currency arrangements. A discussion of Canada's past experience with the two exchange rate systems follows, after which there is a survey of the empirical evidence published on Canada's current and prospective suitability for some form of fixed currency arrangement with the United States. The final section of the paper examines critically a number of concerns raised about the behaviour of the current flexible exchange rate system. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates JEL Code(s): F, F3, F31
Real Effects of Collapsing Exchange Rate Regimes: An Application to Mexico Staff Working Paper 1999-10 Patrick Osakwe, Lawrence L. Schembri This paper examines the impact of a collapsing exchange rate regime on output in an open economy in which shocks to capital flows and exports predominate. A sticky-price rational expectations model is used to compare the variability of output under the collapsing regime to that under alternative fixed and flexible regimes. Output is found to […] Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates JEL Code(s): F, F3, F31, F4, F41
The Exchange Rate Regime and Canada's Monetary Order Staff Working Paper 1999-7 David Laidler It is a mistake to debate the merits of alternative exchange rate regimes for Canada independently of other features of the monetary order. A coherent order requires a well-defined goal for monetary policy, one that the authorities are capable of achieving, and that anchors private sector expectations. For it to be liberal, the relevant authorities […] Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Monetary policy framework JEL Code(s): E, E5, E52, F, F3, F31