Staff research

• The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation

  Staff Working Paper 1994-6 Robert Amano, Tony S. Wirjanto

  We examine the ability of the simple linear-quadratic model under rational expectations to explain dynamic behaviour of aggregate Canadian imports. In contrast to authors of previous studies who examine dynamic behaviour using the LQ model, we estimate the structural parameters using the Euler equation in a limited information framework that does not require an explicit solution for the model's control variables in terms of the exogenous forcing variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Recent economic and financial developments

• Exchange Rate Volatility and Trade: A Survey

  Staff Working Paper 1994-5 Agathe Côté

  This paper provides an extensive survey of the literature on exchange rate volatility and trade, examining both the theory that underlies the work in this area and the results of empirical studies published since 1988.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates

• 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.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models

• The Term Structure and Real Activity in Canada

  Staff Working Paper 1994-3 Barry Cozier, Greg Tkacz

  This paper examines the predictive content of the term structure of interest rates for economic activity in Canada. Recent papers for the United States and other countries find that the slope of the term structure is a very good predictor of output growth.

  Content Type(s): Staff research, Staff working papers Topic(s): Interest rates, Monetary and financial indicators

• The Microstructure of Financial Derivatives Markets: Exchange-Traded versus Over-the-Counter

  Technical Report No. 68 Brenda González-Hermosillo

  In this report the author focusses on the microstructure of derivatives markets. While the primary objective is to examine derivatives markets in Canada, the author also discusses certain developments in global derivatives markets that are bound to influence the functioning and development of financial markets in a small, open economy such as Canada's. It is […]

  Content Type(s): Staff research, Technical reports Topic(s): Financial markets JEL Code(s): G, G1, G10

• A Further Analysis of Exchange Rate Targeting in Canada

  Staff Working Paper 1994-2 Robert Amano, Tony S. Wirjanto

  In a recent paper Mercenier and Sekkat (1988) conclude that the Bank of Canada has followed a policy of exchange rate targeting using the money supply. We re-examine their results using a different estimation approach and with different assumptions about the forcing process of the exogenous variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates

• 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

• The Role of House Prices in Regional Inflation Disparities

  Technical Report No. 67 Dinah Maclean

  Theoretically, house prices will reveal greater disparities between regions than prices for more easily tradable goods and services. This contributes to regional disparities in inflation. In this report the author reviews a range of factors that are likely to cause greater disparities in house price inflation than in the price inflation of other goods and […]

  Content Type(s): Staff research, Technical reports Topic(s): Regional economic developments

• 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