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9212 Results

Long-Term Determinants of the Personal Savings Rate: Literature Review and Some Empirical Results for Canada

Staff Working Paper 2000-3 Gilles Bérubé, Denise Côté
This paper examines the structural determinants of the personal savings rate in Canada over the last 30 years, using cointegration techniques. The main finding is that the real interest rate, expected inflation, the ratio of the all-government fiscal balances to nominal GDP, and the ratio of household net worth to personal disposable income are the most […]
Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): C, C2, C22, E, E2, E21

Responses of Various Econometric Models to Selected Policy Shocks

Technical Report No. 38 Brian O'Reilly, Graydon Paulin, Philip Smith
In July, 1982 a seminar was held in Ottawa to compare the responses of nine major econometric models to a previously specified set of shocks to the Canadian economy. At the seminar, which was sponsored by the Bank of Canada and the Department of Finance, participants presented the results of their simulations and discussed the […]
Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C5, C52, E, E1, E17

Une analyse empirique du lien entre la productivité et le taux de change réel Canada-É-U

Staff Working Paper 2000-22 David Dupuis, David Tessier
The relative productivity gap between Canada and the United States is a controversial subject matter. One argument especially contentious in this debate stems from the belief that the gradual depreciation of the Canadian dollar over the last 20 years has been one of the determinants of the productivity gap.

Steps in Applying Extreme Value Theory to Finance: A Review

Staff Working Paper 2000-20 Younes Bensalah
Extreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios.
Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1

Volatility Transmission Between Foreign Exchange and Money Markets

Staff Working Paper 2000-16 Shafiq K. Ebrahim
This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.
Content Type(s): Staff research, Staff working papers Topic(s): International financial markets JEL Code(s): G, G1, G15
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