Uncategorized

• Are Canadian Banks Efficient? A Canada–U.S. Comparison

  Staff Working Paper 2006-33 Jason Allen, Walter Engert, Ying Liu

  The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): C, C3, C33, D, D2, D24, G, G2, G21

• Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns

  Staff Working Paper 2006-31 Antonio Diez de los Rios, René Garcia

  Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial institutions JEL Code(s): C, C1, C5, G, G1
• August 28, 2006

  Productivity, Terms of Trade, and Economic Adjustment

  Remarks Pierre Duguay Canadian Association for Business Economics Kingston, Ontario

  The Bank of Canada is keenly interested in productivity - for a number of reasons. Productivity gains are a key determinant of growth in potential output and, hence, of Canada's sustainable pace of non-inflationary economic expansion.

  Content Type(s): Press, Speeches and appearances, Remarks

• Multinationals and Exchange Rate Pass-Through

  Staff Working Paper 2006-30 Alexandra Lai, Oana Secrieru

  The authors examine the impact of multinational enterprises (MNEs) on exchange rate pass-through in an environment where an MNE engages in Cournot (quantity) competition with domestic and foreign rivals.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Exchange rates, Market structure and pricing JEL Code(s): F, F2, F23, L, L1, L16

• 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 Research 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 Research 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 Research Topic(s): Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
• July 27, 2006

  Bank of Canada releases 2007 schedule of dates for its policy interest rate announcements

  Media Relations Ottawa, Ontario

  The Bank of Canada today released its 2007 schedule of eight dates for announcing decisions on its key policy interest rate, and confirmed the announcement dates for the remainder of this year.

  Content Type(s): Press, Press releases
• July 20, 2006

  The Right Policies for Today's Global Economy

  Remarks David Dodge Brazil-Canada Chamber of Commerce São Paulo, Brazil

  Canada and Brazil both rely on international trade and foreign investment for economic growth, and both are major producers of commodities. Because we share these attributes, we also share a keen interest in the health of the global economy.

  Content Type(s): Press, Speeches and appearances, Remarks
• July 19, 2006

  The Right Policies for Today's Global Economy

  Remarks David Dodge Chile-Canada Chamber of Commerce Santiago, Chile

  Canada and Chile both rely heavily on international trade and foreign investment for economic growth, and are both major producers of commodities. Because we share these attributes, we also share a keen interest in the health of the global economy.

  Content Type(s): Press, Speeches and appearances, Remarks