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3036 Results

Can Affine Term Structure Models Help Us Predict Exchange Rates?

Staff Working Paper 2006-27 Antonio Diez de los Rios
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression.

Exchange Rates and Oil Prices

Staff Working Paper 1995-8 Robert Amano, Simon van Norden
This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by maximum likelihood methods, which require the derivatives of the likelihood function with respect to the parameter vector. These gradients are usually calculated by means of numerical techniques. The paper shows that analytical gradients […]
Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates
June 8, 2017

Canada’s International Investment Position: Benefits and Potential Vulnerabilities

While greater global financial integration is beneficial, the authors discuss how foreign capital inflows can also facilitate the buildup of domestic vulnerabilities and potentially lead to destabilizing reversals. Canada’s current international investment position is typical of advanced economies and will likely continue to act as an economic stabilizer. However, the growth and composition of Canada’s international investment position warrant continued monitoring.

Term Structure Transmission of Monetary Policy

Staff Working Paper 2007-30 Sharon Kozicki, P. A. Tinsley
Under bond-rate transmission of monetary policy, the authors show that a generalized Taylor Principle applies, in which the average anticipated path of policy responses to inflation is subject to a lower bound of unity. This result helps explain how bond rates may exhibit stable responses to inflation, even in periods of passive policy.
Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates, Monetary policy transmission JEL Code(s): E, E3, E5, N, N1

Estimating the impacts on GDP of natural disasters in Canada

Staff Analytical Note 2025-5 Tatjana Dahlhaus, Thibaut Duprey, Craig Johnston
Extreme weather events contribute to increased volatility in both economic activity and prices, interfering with the assessment of the true underlying trends of the economy. With this in mind, we conduct a timely assessment of the impact of natural disasters on Canadian gross domestic product (GDP).
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