Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1323
result(s)
Canada's Exchange Rate Regime and North American Economic Integration: The Role of Risk-Sharing Mechanisms
Staff Working Paper 1999-17
Zahir Antia,
Ramdane Djoudad,
Pierre St-Amant
Our contribution in this paper is threefold. First, we survey the empirical literature on consumption smoothing mechanisms of regional economic shocks. Second, building on the work of Asdrubali et al. (1996), we present evidence on the role played by various smoothing mechanisms for specific economic shocks affecting Canadian provinces. Third, we assess whether smoothing mechanisms […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
Exchange rates
JEL Code(s):
F,
F3,
F33,
F36,
G,
G1,
G15
Optimal Currency Areas: A Review of the Recent Literature
Staff Working Paper 1999-16
Robert Lafrance,
Pierre St-Amant
This paper surveys the recent literature on optimal currency areas (OCAs). Topics that are covered include theoretical developments in the context of general-equilibrium models and empirical work on shocks asymmetry and adjustment mechanisms. Issues relating to the endogeneity of OCA criteria, the role of exchange rate flexibility in promoting greater macroeconomic stability, and the links […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes
JEL Code(s):
E,
E4,
E42,
F,
F3,
F33
The Information Content of Interest Rate Futures Options
Staff Working Paper 1999-15
Des Mc Manus
Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
G,
G1,
G14
The U.S. Capacity Utilization Rate: A New Estimation Approach
Staff Working Paper 1999-14
René Lalonde
The recent strengh of the U.S. economy and historically low rates of inflation have sparked considerable debate among economists and Federal Reserve officials. In order to better explain the recent behaviour of inflation, some observers have raised the concept of a non-accelerating inflation capacity utilization rate (NAICU). In this study, the author presents a new […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles
JEL Code(s):
E,
E3,
E32,
E37
Indicator Models of Core Inflation for Canada
Staff Working Paper 1999-13
Richard Dion
When there is uncertainty about estimates of the margin of unused capacity in the economy, examining a range of inflation indicators may help in assessing the balance of risks regarding the outlook for inflation. This paper tests a wide range of observable variables for their leading-indicator properties with respect to core inflation, including: commodity prices, […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices
JEL Code(s):
E,
E3,
E31,
E37
Why Canada Needs a Flexible Exchange Rate
Staff Working Paper 1999-12
John Murray
This paper explores the arguments for and against a common currency for Canada and the United States and attempts to determine whether such an arrangement would offer any significant advantages for Canada compared with the present flexible exchange rate system. The paper first reviews the theoretical arguments advanced in the economics literature in support of fixed and flexible currency arrangements. A discussion of Canada's past experience with the two exchange rate systems follows, after which there is a survey of the empirical evidence published on Canada's current and prospective suitability for some form of fixed currency arrangement with the United States. The final section of the paper examines critically a number of concerns raised about the behaviour of the current flexible exchange rate system.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates
JEL Code(s):
F,
F3,
F31
Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market
Staff Working Paper 1999-11
Toni Gravelle
The aims of this study are to examine how liquidity in the Government of Canada securities market has evolved over the 1990s and to determine what factors influence the level of liquidity in this market, with some comparisons to the U.S. Treasury securities market. We find empirical support for the hypothesis that an increase in […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
D,
D4,
G,
G1,
G2
Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets
Staff Working Paper 1999-6
Ben Fung,
Scott Mitnick,
Eli Remolona
Theory and empirical evidence suggest that the term structure of interest rates reflects risk premiums as well as market expectations about future inflation and real interest rates. We propose an approach to extracting such premiums and expectations by exploiting both the comovements among interest rates across the yield curve and between two countries, Canada and […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Inflation and prices,
Interest rates,
International topics
JEL Code(s):
E,
E4,
E43,
G,
G1,
G12,
G15
Real Effects of Collapsing Exchange Rate Regimes: An Application to Mexico
Staff Working Paper 1999-10
Patrick Osakwe,
Lawrence L. Schembri
This paper examines the impact of a collapsing exchange rate regime on output in an open economy in which shocks to capital flows and exports predominate. A sticky-price rational expectations model is used to compare the variability of output under the collapsing regime to that under alternative fixed and flexible regimes. Output is found to […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates
JEL Code(s):
F,
F3,
F31,
F4,
F41