Posts

• An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention

  Staff Working Paper 1999-4 Neil Beattie, Jean-François Fillion

  This paper assesses the effectiveness of Canada's official foreign exchange intervention in moderating intraday volatility of the Can$/US$ exchange rate, using a 2-1/2-year sample of 10-minute exchange rate data. The use of high frequency data (higher than daily frequency) should help in assessing the impact of intervention since the foreign exchange market is efficient and […]

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): F, F3, F31, G, G1, G15

• Yield Curve Modelling at the Bank of Canada

  Technical Report No. 84 David Bolder, David Stréliski

  The primary objective of this paper is to produce a framework that could be used to construct a historical data base of zero-coupon and forward yield curves estimated from Government of Canada securities' prices.

  Content Type(s): Staff research, Technical reports Topic(s): Economic models