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8762 Results

Canadian Short-Term Interest Rates and the BAX Futures Market: Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets

Staff Working Paper 1997-18 David Watt
This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts. The results show that the most effective hedging strategy is, on average, a static strategy based on linear regression that assumes constant variances, even though dynamic models allowing for time-varying variances are found to have superior explanatory power.
Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43
June 18, 1997

The Canadian economy: Challenges and prospects

Remarks Gordon Thiessen la Chambre de commerce et d'industrie du Québec métropolitain Québec, Québec
Once a year, the Bank of Canada's Board of Directors meets outside Ottawa, alternating among the provinces. I am delighted that this year's out-of-town meeting has brought us to the beautiful and historic city of Quebec. I would like to take this opportunity to talk to you about recent developments in our economy.

The Effects of Budget Rules on Fiscal Performance and Macroeconomic Stabilization

Staff Working Paper 1997-15 Jonathan Millar
Budget rules can be defined as legislated or constitutional constraints on government deficits, taxes, expenditures, or debt. This paper reviews the budget rules recently legislated in six of Canada's provinces and both of its territories, as well as budget rules in other OECD countries.
Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy JEL Code(s): E, E6, E62, H, H3, H6, H61

Menu Costs, Relative Prices, and Inflation: Evidence for Canada

Staff Working Paper 1997-14 Robert Amano, Tiff Macklem
The menu-cost models of price adjustment developed by Ball and Mankiw (1994;1995) predict that short-run movements in inflation should be positively related to the skewness and the variance of the distribution of disaggregated relative-price shocks in each period. We test these predictions on Canadian data using the distribution of changes in disaggregated producer prices to measure the skewness and standard deviation of relative-price shocks.
May 30, 1997

Flexible Exchange Rates in a World of Low Inflation

Remarks Gordon Thiessen FOREX '97 Conference Toronto, Ontario
There is a good deal of discussion these days about Economic and Monetary Union (EMU) in Europe - about the benefits and difficulties of organizing such a union. However, today I would like to examine a somewhat different issue, one that is at the other end of the spectrum; namely, How is the international system of flexible exchange rates working these days?
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