F3 - International Finance

• Short Changed? The Market's Reaction to the Short Sale Ban of 2008

  Staff Working Paper 2009-23 Louis Gagnon, Jonathan Witmer

  Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20

• Productivity, the Terms of Trade, and the Real Exchange Rate: The Balassa-Samuelson Hypothesis Revisited

  Staff Working Paper 2009-22 Ehsan U. Choudhri, Lawrence L. Schembri

  The paper examines how the Balassa-Samuelson hypothesis is affected by a modern variation of the standard model that allows product differentiation (within the traded and nontraded goods sectors) with the number of firms determined exogenously or endogenously.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Productivity JEL Code(s): F, F3, F31, F4, F41

• Strengthening IMF Surveillance: An Assessment of Recent Reforms

  Staff Discussion Paper 2009-10 Robert Lavigne, Lawrence L. Schembri

  The authors assess the potential impact of recently approved reforms to International Monetary Fund (IMF) surveillance; namely, the "2007 Decision on Bilateral Surveillance Over Members' Policies" and the "Statement of Surveillance Priorities" (SSP). They conclude that these complementary reforms have the potential to create a comprehensive and coherent framework for IMF surveillance. If implemented properly, […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): International topics JEL Code(s): F, F3, F33

• Assessing the Implementation of the IMF's 2007 Surveillance Decision

  Staff Discussion Paper 2009-6 Robert Lavigne, Garima Vasishtha

  The International Monetary Fund (IMF) recently adopted the "2007 Decision on Bilateral Surveillance Over Members' Policies," a landmark reform that modernizes the general principles of IMF surveillance. However, support for the reform was not unanimous, and doubts have been expressed about how the Decision would be applied in practice. The authors assess the first year […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): International topics JEL Code(s): F, F3, F33

• Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account

  Staff Working Paper 2008-48 Elif Arbatli

  The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the current account reflects consumption smoothing of agents that lend and borrow from the rest of the world in the face of transitory shocks to income.

  Content Type(s): Staff research, Staff working papers Topic(s): Balance of payments and components JEL Code(s): C, C2, C22, F, F2, F21, F3, F32, G, G1, G13

• How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange

  Staff Working Paper 2008-47 Ron Alquist

  This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign debt.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): F, F2, F21, F3, F34, F36, G, G1, G12, G15

• The Role of Foreign Exchange Dealers in Providing Overnight Liquidity

  Staff Working Paper 2008-44 Chris D'Souza

  This paper illustrates that dealers in foreign exchange markets not only provide intraday liquidity, they are key participants in the provision of overnight liquidity. Dealing institutions receive compensation for holding undesired inventory balances in part from the information they receive in customer trades.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): D, D8, D82, F, F3, F31, G, G2, G21

• McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates

  Staff Working Paper 2008-43 Antonio Diez de los Rios

  McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Interest rates, Monetary policy transmission JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

• The Canadian Dollar and Commodity Prices: Has the Relationship Changed over Time?

  Staff Discussion Paper 2008-15 Philipp Maier, Brian DePratto

  The authors examine the impact of the recent run-up in energy and non-energy commodity prices on the Canadian dollar. Using the Bank of Canada's exchange rate equation, they find that the differences between the actual value of the Canadian exchange rate and the simulated values observed in 2007 are not historically large. Still, given that […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Exchange rates JEL Code(s): F, F3, F31

• Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through

  Staff Working Paper 2008-39 Stephane Dees, Matthias Burgert, Nicolas Parent

  This paper aims at showing heterogeneity in the degree of exchange rate pass-through to import prices in major advanced economies at three different levels: 1) across destination markets; 2) across types of exporters (distinguishing developed economy from emerging economy exporters); and 3) over time.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices JEL Code(s): E, E3, E31, F, F3, F4, F41