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1901
result(s)
Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency
Staff Working Paper 2001-5
Toni Gravelle,
Richhild Moessner
In this study we statistically quantify the reactions of Canadian and U.S. interest rates to macroeconomic announcements released in Canada and in the United States. We find that Canadian interest rates react very little to Canadian macroeconomic news and are significantly affected by U.S. macroeconomic news, which indicates that international influences on the Canadian fixed-income markets are important.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates,
Monetary policy implementation
JEL Code(s):
E,
E0,
E4,
E5
On the Nature and the Stability of the Canadian Phillips Curve
Staff Working Paper 2001-4
Maral Kichian
This paper empirically determines why, during the 1990s, inflation in Canada was consistently more stable than predicted by the fixed-coefficients Phillips curve. A time-varying-coefficient model, where all the parameters adjust simultaneously, shows that the behaviour of expectations was probably a major contributing factor.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
E,
E3,
E37
On Commodity-Sensitive Currencies and Inflation Targeting
Staff Working Paper 2001-3
Kevin Clinton
Two aspects of the recent monetary history of Canada, Australia, and New Zealand stand out: the sensitivity of their dollars to prices of resource-based commodities, and inflation targeting. This paper explores various aspects of these phenomena.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Inflation targets,
International topics,
Monetary policy implementation
JEL Code(s):
E,
E3,
E31,
E5,
E52,
F,
F3,
F31,
F4,
F42
Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
Staff Working Paper 2001-2
Richard Luger
This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasticity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C12,
C2,
C22
The Elements of the Global Network for Large-Value Funds Transfers
Staff Working Paper 2001-1
James Dingle
The author describes the various elements of the global payment network for large-value funds transfers (G-LVTN) in order to provide a convenient reference document intended for readers in the academic, legal, and financial communities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E40,
E6,
E61
Core Inflation
Technical Report No. 89
Seamus Hogan,
Marianne Johnson,
Thérèse Laflèche
The Bank of Canada uses core CPI inflation, the year-over-year rate of change of the consumer price index excluding food, energy, and the effects of changes in indirect taxes, as the operational guide for monetary policy.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Inflation and prices
JEL Code(s):
E,
E3,
E31
The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables
Staff Working Paper 2000-23
Nikola Gradojevic,
Jing Yang
Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates
JEL Code(s):
C,
C4,
C45,
F,
F3,
F31
Une analyse empirique du lien entre la productivité et le taux de change réel Canada-É-U
Staff Working Paper 2000-22
David Dupuis,
David Tessier
The relative productivity gap between Canada and the United States is a controversial subject matter. One argument especially contentious in this debate stems from the belief that the gradual depreciation of the Canadian dollar over the last 20 years has been one of the determinants of the productivity gap.
Content Type(s):
Staff research,
Staff working papers
Steps in Applying Extreme Value Theory to Finance: A Review
Staff Working Paper 2000-20
Younes Bensalah
Extreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
C,
C0,
C4,
C5,
G,
G1