December 2, 2002 Canadian Foreign Exchange Market Liquidity and Exchange Rate Dynamics Financial System Review - December 2002 Chris D'Souza Content Type(s): Publications, Financial System Review articles
What Drags and Drives Mobility: Explaining Canada’s Aggregate Migration Patterns Staff Working Paper 2012-28 David Amirault, Daniel de Munnik, Sarah Miller Using census data at the economic region level from 1991 to 2006 and a gravity model framework, this paper examines the factors that influence migration within Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Labour markets, Regional economic developments JEL Code(s): J, J6, J61, R, R2, R23
Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology Staff Working Paper 1996-2 Pierre St-Amant In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run—they are cointegrated (1,1)—and that the real interest rate is stationary. Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates, International topics JEL Code(s): E, E3, E31, E4, E43
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 Research Topic(s): Exchange rates, Financial markets JEL Code(s): E, E5, E58, F, F3, F31, G, G1, G14, G15
Are Currency Crises Low-State Equilibria? An Empirical, Three-Interest-Rate Model Staff Working Paper 2006-5 Christopher Cornell, Raphael Solomon Suppose that the dynamics of the macroeconomy were given by (partly) random fluctuations between two equilibria: "good" and "bad." Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty JEL Code(s): C, C6, C62, E, E5, E59, F, F4, F41
January 11, 2010 Bank of Canada Review - Winter 2009-2010 Causes and consequences of declining inflation persistence in Canada; the evolution of capital flows to emerging-market economies (EMEs) and the need for EMEs to implement policies that support capital flows; making bank notes accessible for Canadians living with blindness or low vision, sharing assessments of the suite of accessibility features on the current series of bank notes and plans for the next series. Content Type(s): Publications, Bank of Canada Review
October 18, 2005 What Drives Movements in Exchange Rates? Bank of Canada Review - Autumn 2005 Jeannine Bailliu, Michael R. King 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 Research Topic(s): Economic models, Exchange rates, Financial markets
Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach Staff Working Paper 2006-20 Neville Arjani The author explores a fundamental trade-off that occurs between settlement delay and intraday liquidity in the daily operation of large-value payment systems (LVPS), with specific application to Canada's Large Value Transfer System (LVTS). Content Type(s): Staff research, Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): E, E4, E47, G, G2, G21
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 Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13