What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates Staff Working Paper 2010-5 Jean-Philippe Cayen, Donald Coletti, René Lalonde, Philipp Maier We use a novel approach to identify economic developments that drive exchange rates in the long run. Using a panel of six quarterly U.S. bilateral real exchange rates – Australia, Canada, the euro, Japan, New Zealand and the United Kingdom – over the 1980-2007 period, a dynamic factor model points to two common factors. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): J, J3, J31
Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach Staff Working Paper 1996-1 Robert Vigfusson 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 Research Topic(s): Financial markets JEL Code(s): C, C4, C40, G, G1, G12
The Impact of Unemployment Insurance and Unsecured Credit on Business Cycles Staff Working Paper 2023-22 Michael Irwin This paper studies how unsecured consumer credit impacts the extent to which unemployment insurance (UI) policies smooth aggregate consumption fluctuations over the business cycle. Using a general equilibrium real business cycle model, I find that unsecured credit amplifies the extent to which UI smooths cyclical consumption fluctuations. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Fiscal policy, Labour markets JEL Code(s): E, E2, E21, E24, E3, E32, E4, E44, E6, E62
Price-Level versus Inflation Targeting in a Small Open Economy Staff Working Paper 2001-24 Gabriel Srour This paper compares two types of monetary policy: price-level targeting and inflation targeting. It reviews recent arguments that favour price-level targeting, and examines how certain factors, such as the nature of the shocks affecting the economy and the degree to which agents are forward-looking, bear upon the arguments. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E5, E52
Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach Staff Working Paper 2003-8 Andrew Rennison The author evaluates the ability of a variety of output-gap estimators to accurately measure the output gap in a model economy. A small estimated model of the Canadian economy is used to generate artificial data. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C1, C15, E, E3, E32
Dynamic Factor Analysis for Measuring Money Staff Working Paper 2003-21 Paul Gilbert, Lise Pichette Technological innovations in the financial industry pose major problems for the measurement of monetary aggregates. The authors describe work on a new measure of money that has a more satisfactory means of identifying and removing the effects of financial innovations. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Monetary aggregates, Monetary and financial indicators JEL Code(s): C, C4, C43, C8, C82, E, E5, E51
Macroprudential Rules and Monetary Policy when Financial Frictions Matter Staff Working Paper 2012-6 Jeannine Bailliu, Césaire Meh, Yahong Zhang This paper examines the interaction between monetary policy and macroprudential policy and whether policy makers should respond to financial imbalances. To address this issue, we build a dynamic general equilibrium model that features financial market frictions and financial shocks as well as standard macroeconomic shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets, Financial stability, Monetary policy framework JEL Code(s): E, E4, E42, E5, E50, E6, E60
Bitcoin Awareness and Usage in Canada: An Update Staff Analytical Note 2018-23 Christopher Henry, Kim Huynh, Gradon Nicholls The results of our 2017 Bitcoin Omnibus Survey (December 12 to 15, 2017) when compared with those from 2016 show that Bitcoin “awareness” increased from 64 to 85 per cent, while ownership increased from 2.9 to 5.0 per cent. Most Bitcoin purchasers are using the cryptocurrency as an investment and not as a means of payment for goods or services. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E4
Central Bank Liquidity Facilities and Market Making Staff Working Paper 2022-9 David Cimon, Adrian Walton We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Economic models, Financial institutions, Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G2, G20, L, L1, L10
January 11, 2009 Bank of Canada Review - Winter 2008-2009 Cover page Chargex The artefacts on the cover are part of the National Currency Collection of the Bank of Canada. Photography by Gord Carter Content Type(s): Publications, Bank of Canada Review