Staff working papers

• The Turning Black Tide: Energy Prices and the Canadian Dollar

  Staff Working Paper 2006-29 Ramzi Issa, Robert Lafrance, John Murray

  The authors revisit the relationship between energy prices and the Canadian dollar in the Amano and van Norden (1995) equation, which shows a negative relationship such that higher real energy prices lead to a depreciation of the Canadian dollar.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): F, F3, F31

• Estimation of the Default Risk of Publicly Traded Canadian Companies

  Staff Working Paper 2006-28 Georges Dionne, Sadok Laajimi, Sofiane Mejri, Madalina Petrescu

  Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Debt management, Econometric and statistical methods, Financial markets, Recent economic and financial developments JEL Code(s): G, G2, G21, G24, G28, G3, G33

• Can Affine Term Structure Models Help Us Predict Exchange Rates?

  Staff Working Paper 2006-27 Antonio Diez de los Rios

  The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

• Using Monthly Indicators to Predict Quarterly GDP

  Staff Working Paper 2006-26 Yi Zheng, James Rossiter

  The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C2, C22, C5, C53

• Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices

  Staff Working Paper 2006-25 Greg Tkacz, Carolyn A. Wilkins

  The authors examine whether simple measures of Canadian equity and housing price misalignments contain leading information about output growth and inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Inflation and prices JEL Code(s): C, C5, C53, E, E4

• Are Average Growth Rate and Volatility Related?

  Staff Working Paper 2006-24 Partha Chatterjee, Malik Shukayev

  The empirical relationship between the average growth rate and the volatility of growth rates, both over time and across countries, has important policy implications, which depend critically on the sign of the relationship.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E32

• Convergence in a Stochastic Dynamic Heckscher-Ohlin Model

  Staff Working Paper 2006-23 Partha Chatterjee, Malik Shukayev

  The authors characterize the equilibrium for a small economy in a dynamic Heckscher-Ohlin model with uncertainty.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): F, F4, F43, O, O4, O41

• Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies

  Staff Working Paper 2006-22 Anna Piretti, Charles St-Arnaud

  The authors develop a projection model of the euro area and the United Kingdom. The model consists of two country blocks, endogenous to each other via the foreign demand channel.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E3, E37

• The International Monetary Fund's Balance-Sheet and Credit Risk

  Staff Working Paper 2006-21 Ryan Felushko, Eric Santor

  The authors examine the characteristics of International Monetary Fund (IMF) lending from the 1960s to 2005.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics JEL Code(s): F, F3

• Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach

  Staff Working Paper 2006-20 Neville Arjani

  The author explores a fundamental trade-off that occurs between settlement delay and intraday liquidity in the daily operation of large-value payment systems (LVPS), with specific application to Canada's Large Value Transfer System (LVTS).

  Content Type(s): Staff research, Staff working papers Topic(s): Payment clearing and settlement systems JEL Code(s): E, E4, E47, G, G2, G21