Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1302
result(s)
An Eclectic Approach to Estimating U.S. Potential GDP
Staff Working Paper 2002-36
Marc-André Gosselin,
René Lalonde
The authors describe the principal results obtained from a new method applied to the estimation of potential U.S. GDP.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Potential output
JEL Code(s):
C,
C3,
C32,
E,
E2,
E23,
E3,
E32
The Impact of Common Currencies on Financial Markets: A Literature Review and Evidence from the Euro Area
Staff Working Paper 2002-35
Liliane Karlinger
This paper reviews both the theoretical and empirical literature on the impact of common currencies on financial markets and evaluates the first three years of experience with Economic and Monetary Union (EMU).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
Financial markets
JEL Code(s):
E,
E4,
E44,
F,
F2,
F21,
F3,
F36,
G,
G1,
G15
How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?
Staff Working Paper 2002-34
Chris D'Souza
This paper examines the daily hedging and risk-management practices of financial intermediaries in the Canadian foreign exchange (FX) market.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Market structure and pricing
JEL Code(s):
F,
F3,
F31,
G,
G1,
G14,
G2,
G21
Alternative Trading Systems: Does One Shoe Fit All?
Staff Working Paper 2002-33
Nicolas Audet,
Toni Gravelle,
Jing Yang
This paper examines the factors that lead liquidity-motivated investors to choose the type of market structure they prefer.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10,
G14,
G18
Labour Markets, Liquidity, and Monetary Policy Regimes
Staff Working Paper 2002-32
David Andolfatto,
Scott Hendry,
Kevin Moran
We develop an equilibrium model of the monetary policy transmission mechanism that highlights information frictions in the market for money and search frictions in the market for labour.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy and uncertainty,
Monetary policy transmission
JEL Code(s):
E,
E4,
E5
Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence
Staff Working Paper 2002-31
Céline Gauthier,
David Tessier
In this paper, we study the impact of supply shocks on the Canadian real exchange rate. We specify a structural vector-error-correction model that links the real exchange rate to different fundamentals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates
JEL Code(s):
C,
C3,
C32,
F,
F3,
F31
Inflation Expectations and Learning about Monetary Policy
Staff Working Paper 2002-30
David Andolfatto,
Scott Hendry,
Kevin Moran
Various measures indicate that inflation expectations evolve sluggishly relative to actual inflation. In addition, they often fail conventional tests of unbiasedness.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models
JEL Code(s):
E,
E4,
E47,
E5,
E52,
E58
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
Staff Working Paper 2002-29
David Bolder,
Scott Gusba
This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates
JEL Code(s):
C,
C0,
C6,
E,
E4,
G,
G1
Filtering for Current Analysis
Staff Working Paper 2002-28
Simon van Norden
This paper shows how existing band-pass filtering techniques and their extension can be applied to the common current-analysis problem of estimating current trends or cycles.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Potential output
JEL Code(s):
C,
C1