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2358
result(s)
June 1, 1994
Summer 1994
Canada's net external indebtedness increased from $110 billion in 1980 to $313 billion in 1993, reflecting the accumulation of current account deficits over many years.
Content Type(s):
Publications,
Bank of Canada Review articles
From Monetary Policy Instruments to Administered Interest Rates: The Transmission Mechanism in Canada
Technical Report No. 69
Kevin Clinton,
Donna Howard
The authors investigate interest-rate aspects of the transmission mechanism of monetary policy instruments in Canada, focussing on the stability of the relationships between some key interest rates and the instruments of monetary policy. To determine what shifts may have occurred in recent years, they describe movements in rate differentials, apply cointegration tests and estimate error-correction […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Monetary policy transmission
JEL Code(s):
E,
E5,
E52
The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation
Staff Working Paper 1994-6
Robert Amano,
Tony S. Wirjanto
We examine the ability of the simple linear-quadratic model under rational expectations to explain dynamic behaviour of aggregate Canadian imports. In contrast to authors of previous studies who examine dynamic behaviour using the LQ model, we estimate the structural parameters using the Euler equation in a limited information framework that does not require an explicit solution for the model's control variables in terms of the exogenous forcing variables.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Recent economic and financial developments
Exchange Rate Volatility and Trade: A Survey
Staff Working Paper 1994-5
Agathe Côté
This paper provides an extensive survey of the literature on exchange rate volatility and trade, examining both the theory that underlies the work in this area and the results of empirical studies published since 1988.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates
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