Posts
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Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns. -
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March 2, 2017
Thermometer Rising—Climate Change and Canada’s Economic Future
Deputy Governor Tim Lane discusses the implications of climate change—and actions to address it—for Canada’s economy and financial system. -
March 1, 2017
Bank of Canada begins publishing new foreign exchange rate data
The Bank of Canada today began publishing new data on the foreign exchange (FX) rate for 26 currencies, intended for statistical, analytical and informational purposes only. -
March 1, 2017
Bank of Canada maintains overnight rate target at 1/2 per cent
The Bank of Canada today announced that it is maintaining its target for the overnight rate at 1/2 per cent. The Bank Rate is correspondingly 3/4 per cent and the deposit rate is 1/4 per cent. -
February 28, 2017
Research Update - February 2017
This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. -
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The Share of Systematic Variations in the Canadian Dollar—Part II
This analytical note examines how much of the systematic variation in the Canadian dollar is attributable to its sensitivity to commodity prices. We introduce a new “oil” portfolio that captures systematic variations when the exchange rates of commodity exporters and commodity importers move in opposite directions.