Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
1934
result(s)
An Up-to-Date and Improved BVAR Model of the Canadian Economy
Staff Working Paper 1994-4
Daniel Racette,
Jacques Raynauld,
Christian Sigouin
In this paper, we estimate a fully optimized BVAR model of the Canadian economy for the period 1971-87. The model is well-adapted to the features of a small open economy. We show how it can be used as an input in the monetary policy process either as a forecasting instrument or an analytical tool.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
The Term Structure and Real Activity in Canada
Staff Working Paper 1994-3
Barry Cozier,
Greg Tkacz
This paper examines the predictive content of the term structure of interest rates for economic activity in Canada. Recent papers for the United States and other countries find that the slope of the term structure is a very good predictor of output growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates,
Monetary and financial indicators
The Microstructure of Financial Derivatives Markets: Exchange-Traded versus Over-the-Counter
Technical Report No. 68
Brenda González-Hermosillo
In this report the author focusses on the microstructure of derivatives markets. While the primary objective is to examine derivatives markets in Canada, the author also discusses certain developments in global derivatives markets that are bound to influence the functioning and development of financial markets in a small, open economy such as Canada's. It is […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10
A Further Analysis of Exchange Rate Targeting in Canada
Staff Working Paper 1994-2
Robert Amano,
Tony S. Wirjanto
In a recent paper Mercenier and Sekkat (1988) conclude that the Bank of Canada has followed a policy of exchange rate targeting using the money supply. We re-examine their results using a different estimation approach and with different assumptions about the forcing process of the exogenous variables.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates
Optimum Currency Areas and Shock Asymmetry: A Comparison of Europe and the United States
Staff Working Paper 1994-1
Nick Chamie,
Alain DeSerres,
René Lalonde
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
C,
C4,
C40,
G,
G1,
G12
The Role of House Prices in Regional Inflation Disparities
Technical Report No. 67
Dinah Maclean
Theoretically, house prices will reveal greater disparities between regions than prices for more easily tradable goods and services. This contributes to regional disparities in inflation. In this report the author reviews a range of factors that are likely to cause greater disparities in house price inflation than in the price inflation of other goods and […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Regional economic developments
Les sources des fluctuations des taux de change en Europe et leurs implications pour l'union monétaire
Technical Report No. 66
Alain DeSerres,
René Lalonde
The objective of this paper is to provide an empirical evaluation of the degree of shock asymmetry between eight European countries that would form the core of a monetary union. Given that the relevant measure is the degree of real shock asymmetry, our approach is to use the observed movement in real exchange rates as […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Exchange rates
JEL Code(s):
F,
F1,
F15,
F3,
F31
Modèles indicateurs du PIB réel pour quatre pays d'Europe et le Japon
Staff Working Paper 1993-11
Peter Gruhn,
Pierre St-Amant
For the five overseas countries considered in this study (Germany, France, Italy, the United Kingdom and Japan), data on real GDP are released on a quarterly basis at least two months after the end-of-quarter.
Content Type(s):
Staff research,
Staff working papers
Tests of Market Efficiency in the One-Week When-Issued Market for Government of Canada Treasury Bills
Technical Report No. 65
D. Graham Pugh
This report presents different tests of market efficiency in the when- issued market for Government of Canada treasury bills and examines the effectiveness, in this market, of Bank operations over the 1986 to mid- 1992 period. The when-issued market, which is a combination of a forward and futures market, enables market participants to buy or […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G14