April 12, 2006
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.
385
result(s)
A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
Staff Working Paper 2006-8
Ingrid Lo,
Stephen Sapp
Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
C,
C3,
D,
D8,
F,
F3,
F31
October 18, 2005
What Drives Movements in Exchange Rates?
Understanding what causes the exchange rate to move has been on ongoing challenge for economists. Despite extensive research, traditional macro models of exchange rate determination—with the exception of the Bank of Canada's exchange rate equation—have typically not fared well, motivating economists to explore new ways to model exchange rate movements that incorporate more complex and realistic settings. Within the context of the sharp appreciation of the Canadian dollar in 2003 and 2004, Bailliu and King review the macroeconomic models of exchange rates, as well as the micro-structure studies that highlight the importance of trading mechanisms, information asymmetry, and investor heterogeneity for explaining short-term dynamics in exchange rates. In addition to summarizing the current state of knowledge, they highlight recent advances and identify promising alternative approaches.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Economic models,
Exchange rates,
Financial markets
Uninsured Idiosyncratic Production Risk with Borrowing Constraints
Staff Working Paper 2005-26
Francisco Covas
The author analyzes a general-equilibrium model of a heterogeneous agents economy in which the agents are subject to borrowing constraints and uninsurable idiosyncratic production risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial institutions,
Financial markets
JEL Code(s):
E,
E2,
E22,
G,
G1,
G11,
M,
M1,
M13
A Search Model of Venture Capital, Entrepreneurship, and Unemployment
Staff Working Paper 2005-24
Robin Boadway,
Oana Secrieru,
Marianne Vigneault
The authors develop a search model of venture capital in which the number of successful matches of entrepreneurs and venture capitalists (VCs) at any moment in time is a function of the number of entrepreneurs searching for funds, the number of VCs searching for entrepreneurs, and the number of vacancies posted by each VC.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Fiscal policy,
Labour markets
JEL Code(s):
D,
D8,
D82,
G,
G1,
G18,
G2,
G24,
H,
H2,
H21,
J,
J6,
J64
The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar
Staff Working Paper 2005-21
Rasmus Fatum,
Michael R. King
The Bank of Canada is one of very few central banks that has made records of the intraday timing of its intervention operations available to researchers.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
E,
E5,
E58,
F,
F3,
F31,
G,
G1,
G14,
G15
June 22, 2005
Estimating the Impact of Monetary Policy Surprises on Fixed-Income Markets
In the interest of better understanding the impact of the Bank of Canada's policy actions on bond and bill yields, Andreou assesses the impact of policy-rate announcements on short and long bonds over the period 1996 to 2004. To aid the analysis, policy actions are decomposed into expected and surprise components. He also examines whether the introduction of fixed announcement dates (FADs) has affected these results, including markets' perceptions. The main finding is that unexpected policy actions by the Bank have a significant effect on market rates at the shorter end of the yield curve, with the effect dissipating as the maturity increases. A second finding, that the impact on longer-term interest rates of a surprise action by the Bank has diminished since the introduction of the FADs, suggests that the Bank's long-term policy goals are well understood and credible.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Credibility,
Financial markets,
Monetary policy and uncertainty
Risk Perceptions and Attitudes
Staff Working Paper 2005-17
Miroslav Misina
Changes in risk perception have been used in various contexts to explain shorter-term developments in financial markets, as part of a mechanism that amplifies fluctuations in financial markets, as well as in accounts of "irrational exuberance."
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets
JEL Code(s):
D,
D8,
D81,
D84,
G,
G1,
G12
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
Staff Working Paper 2005-9
Fousseni Chabi-Yo,
René Garcia,
Eric Renault
The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G13
Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem?
Staff Working Paper 2005-3
Michael R. King,
Maksym Padalko
The authors study the price - volume dynamics ahead of the first public announcement of a takeover for 420 Canadian firms from 1985 to 2002.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G14,
G18,
G3,
G34