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8644 Results

Les sources des fluctuations des taux de change en Europe et leurs implications pour l'union monétaire

Technical Report No. 66 Alain DeSerres, René Lalonde
The objective of this paper is to provide an empirical evaluation of the degree of shock asymmetry between eight European countries that would form the core of a monetary union. Given that the relevant measure is the degree of real shock asymmetry, our approach is to use the observed movement in real exchange rates as […]
Content Type(s): Staff research, Technical reports Topic(s): Exchange rates JEL Code(s): F, F1, F15, F3, F31

Tests of Market Efficiency in the One-Week When-Issued Market for Government of Canada Treasury Bills

Technical Report No. 65 D. Graham Pugh
This report presents different tests of market efficiency in the when- issued market for Government of Canada treasury bills and examines the effectiveness, in this market, of Bank operations over the 1986 to mid- 1992 period. The when-issued market, which is a combination of a forward and futures market, enables market participants to buy or […]
Content Type(s): Staff research, Technical reports Topic(s): Financial markets JEL Code(s): G, G1, G14

Measurement Biases in the Canadian CPI

Technical Report No. 64 Allan Crawford
The consumer price index (CPI) may be an imperfect measure of changes in the cost of living owing to measurement biases known as commodity substitution bias, new goods bias, quality bias and outlet substitution bias. When the sum of these individual biases is positive, the rate of change in the CPI overstates the increase in […]
Content Type(s): Staff research, Technical reports Topic(s): Inflation and prices JEL Code(s): E, E3, E31

Monetary Policy, Uncertainty and the Presumption of Linearity

Technical Report No. 63 Douglas Laxton, David Rose, Robert Tetlow
This report shows that extreme conditions and volatility in markets are much more likely to result from systematic policy errors in gauging and responding to inflationary pressures in an economy than from unfortunate random shocks. We describe a simple model that incorporates the key features of the policy control process. We use two versions of […]

The Development of Financial Derivatives Markets: The Canadian Experience

Technical Report No. 62 Sean O'Connor
In response to an intense demand for risk management services since the early 1980s, the over-the-counter (OTC) markets for financial derivatives in Canada have developed more vigorously than those for exchange-traded (EXT) derivative securities. This is particularly evident for interest rate derivatives. The objectives of this paper are to examine why Canadian interest rate derivatives […]
Content Type(s): Staff research, Technical reports Topic(s): Financial markets JEL Code(s): G, G1, G10

Un modèle du coût du financement et du ratio d'endettement des entreprises non financières

Technical Report No. 61 Jean-François Fillion
The main aim of this paper is to calculate the cost of financing for Canadian non-financial businesses and to develop a model to explain financing cost trends on the basis of selected macroeconomic variables. The model described herein is a system based on four equations: one for the real after-tax cost of financing; one for […]
Content Type(s): Staff research, Technical reports Topic(s): Economic models

Fiscal Policy and External Balance in the G-7 Countries

Technical Report No. 60 Stephen S. Poloz
This paper assesses evidence, from the G-7 countries, of a link between a country's fiscal policy and its external balance, often referred to as the "twin deficits" phenomenon. It begins by reviewing the stylized facts, and then examines the theoretical case for such a link.
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