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1934
result(s)
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
Le modèle USM d'analyse et de projection de l'économie américaine
Staff Working Paper 2000-19
René Lalonde
In this study, the author presents a new forecast and analysis model for the U.S. economy (i.e., the USM model) constructed at the Bank of Canada. The USM has a number of advantages over its predecessor, the VSM model.
Content Type(s):
Staff research,
Staff working papers
Les effets réels du cours des actions sur la consommation
Staff Working Paper 2000-21
Lise Pichette
During the nineties, stock prices increased remarkably. The number of households owning stocks also rose considerably. If stock market wealth has an effect on consumers' decisions, then the rise in equity prices could have contributed to the growth in consumption in recent years.
Content Type(s):
Staff research,
Staff working papers
Inflation and the Tax System in Canada: An Exploratory Partial-Equilibrium Analysis
Staff Working Paper 2000-18
Brian O'Reilly,
Mylène Levac
This paper reports on an exploratory application to Canadian data of an approach pioneered by Martin Feldstein (1997, 1999). Feldstein finds that even at low inflation rates there are costs arising from the distortions introduced by the interaction of inflation with the taxation of income from capital (capital gains, dividends, and interest) in a less-than-perfectly-indexed tax system.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation: costs and benefits
JEL Code(s):
E,
E5,
E6
A Practical Guide to Swap Curve Construction
Staff Working Paper 2000-17
Uri Ron
The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
International financial markets
JEL Code(s):
G,
G1,
G12,
G15
Volatility Transmission Between Foreign Exchange and Money Markets
Staff Working Paper 2000-16
Shafiq K. Ebrahim
This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International financial markets
JEL Code(s):
G,
G1,
G15
Private Capital Flows, Financial Development, and Economic Growth in Developing Countries
Staff Working Paper 2000-15
Jeannine Bailliu
An important issue in the debate over the desirability of freer capital mobility for developing countries is whether capital flows have significant effects on economic growth. Proponents of capital account liberalization cite the growth-promoting attributes of capital inflows as a key benefit of financial integration for developing countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics
JEL Code(s):
F,
F2,
F21,
F4,
F43,
O,
O5,
O50
Employment Effects Of Nominal-Wage Rigidity: An Examination Using Wage-Settlements Data
Staff Working Paper 2000-14
Umar Faruqui
The argument advocating a moderate level of inflation based on the downward nominal-wage rigidity (DNWR) hypothesis rests on three factors: its presence, extent, and negative impact in the labour market. This paper focuses on the employment effect of DNWR.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
C,
C2,
C23,
J,
J2,
J23,
J3,
J30