F31 - Foreign Exchange

• Testing Uncovered Interest Parity: A Continuous-Time Approach

  Staff Working Paper 2007-53 Antonio Diez de los Rios, Enrique Sentana

  Nowadays researchers can choose the sampling frequency of exchange rates and interest rates.

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

• Where Does Price Discovery Occur in FX Markets?

  Staff Working Paper 2007-52 Chris D'Souza

  Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York.

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

• Canada's Pioneering Experience with a Flexible Exchange Rate in the 1950s: (Hard) Lessons Learned for Monetary Policy in a Small Open Economy

  Staff Working Paper 2007-45 Michael Bordo, Ali Dib, Lawrence L. Schembri

  This paper revisits Canada's pioneering experience with floating exchange rate over the period 1950–1962. It examines whether the floating rate was the best option for Canada in the 1950s by developing and estimating a New Keynesian small open economy model of the Canadian economy.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Exchange rates JEL Code(s): E, E3, E32, E37, F, F3, F31, F32, N, N1

• Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies

  Staff Working Paper 2007-41 Jeannine Bailliu, Ali Dib, Takashi Kano, Lawrence L. Schembri

  In this paper, we empirically investigate whether multilateral adjustment to large U.S. external imbalances can help explain movements in the bilateral exchange rates of three commodity currencies – the Australian, Canadian and New Zealand (ACNZ) dollars.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): C, C1, C11, C2, C22, F, F3, F31, F32

• 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

• 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

• A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market

  Staff Working Paper 2006-8 Ingrid Lo, Stephen Sapp

  Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): C, C3, D, D8, F, F3, F31

• Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada

  Staff Working Paper 2006-2 Lynda Khalaf, Maral Kichian

  The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E31, F, F3, F31, F4, F40

• An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia

  Staff Working Paper 2005-38 Marc-André Gosselin, Nicolas Parent

  Over the past few years, the ability of the United States to finance its current account deficit has been facilitated by massive purchases of U.S.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, International topics JEL Code(s): C, C2, C23, F, F3, F31, G, G1, G15

• The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar

  Staff Working Paper 2005-21 Rasmus Fatum, Michael R. King

  The Bank of Canada is one of very few central banks that has made records of the intraday timing of its intervention operations available to researchers.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): E, E5, E58, F, F3, F31, G, G1, G14, G15