August 14, 2000
Posts
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International Equity Flows and Returns: A Quantitative Equilibrium Approach
The authors model trading by foreign and domestic investors in developed-country equity markets. -
World Real Interest Rates: A Global Savings and Investment Perspective
Over the past 15 years, long-term interest rates have declined to levels not seen since the 1970s. This paper explores possible shifts in global savings and investment that have led to this fall in the world real interest rate. -
Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach
Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate. -
Exchange Rates and Oil Prices
This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by maximum likelihood methods, which require the derivatives of the likelihood function with respect to the parameter vector. These gradients are usually calculated by means of numerical techniques. The paper shows that analytical gradients […] -
2013 Methods-of-Payment Survey Results
As the sole issuer of bank notes, the Bank of Canada conducts methods-of-payment (MOP) surveys to obtain a detailed and representative snapshot of Canadian payment choices, with a focus on cash usage. -
A VAR Analysis of Economic Interdependence: Canada, the United States, and the Rest of the World
The authors use vector autoregression (VAR) modelling techniques to examine the response of the domestic economy to foreign influences and to quantify some of the concepts and relationships relating to economic interdependence. Particular attention is given to the dynamic behaviour and interactions of the U.S. and Canadian economies over the past twenty years. Extensive empirical […] -
December 4, 2000
Bank of Canada Governor concludes that a floating exchange rate regime continues to make sense for Canada
In a speech to the Chambre de commerce du Montréal métropolitain, Bank of Canada Governor Gordon Thiessen reviewed the different sides of the argument with respect to a floating exchange rate regime, and concluded that a floating currency continues to make sense for Canada. -
The Welfare Implications of Inflation versus Price-Level Targeting in a Two-Sector, Small Open Economy
The authors analyze the welfare implications of simple monetary policy rules in the context of an estimated model of a small open economy for Canada with traded and non-traded goods, and with sticky prices and wages. -
What Drives Interbank Loans? Evidence from Canada
We identify the drivers of unsecured and collateralized loan volumes, rates and haircuts in Canada using the Bayesian model averaging approach to deal with model uncertainty. Our results suggest that the key friction driving behaviour in this market is the collateral reallocation cost faced by borrowers.