Estimating and Comparing the Implied Cost of Equity for Canadian and U.S. Firms Staff Working Paper 2007-48 Jonathan Witmer, Lorie Zorn This paper estimates the implied cost of equity for Canadian and U.S. firms using a methodology based on the dividend discount model and utilizing firms' current stock price and analysts' forecasted earnings. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G3, G30, G38
GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide Staff Working Paper 2000-2 Maral Kichian State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […] Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89
The Share of Systematic Variations in the Canadian Dollar—Part I Staff Analytical Note 2016-15 Jean-Sébastien Fontaine, Guillaume Nolin In this analytical note we show that the share of the systematic variations in the Canadian dollar has risen significantly in the past two decades. Systematic variations in the exchange rate are shared with other currencies. This parallels the equity market, where variations in the price of a given stock are shared with variations in the prices of other stocks. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Exchange rates JEL Code(s): F, F3, F31
The Welfare Implications of Inflation versus Price-Level Targeting in a Two-Sector, Small Open Economy Staff Working Paper 2006-12 Eva Ortega, Nooman Rebei The authors analyze the welfare implications of simple monetary policy rules in the context of an estimated model of a small open economy for Canada with traded and non-traded goods, and with sticky prices and wages. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Exchange rates, Inflation targets JEL Code(s): E, E3, E31, E32, E5, E52
Central Bank Digital Currency and Monetary Policy Staff Working Paper 2018-36 Mohammad Davoodalhosseini Many central banks are contemplating whether to issue central bank digital currency. This piece explores the implications as well as potential motivators of such a step. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Monetary policy JEL Code(s): E, E4, E42, E5, E50
An Estimated Canadian DSGE Model with Nominal and Real Rigidities Staff Working Paper 2001-26 Ali Dib This paper develops a dynamic, stochastic, general-equilibrium (DGSE) model for the Canadian economy and evaluates the real effects of monetary policy shocks. To generate high and persistent real effects, the model combines nominal frictions in the form of costly price adjustment with real rigidities modelled as convex costs of adjusting capital and employment. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E31, E32
Payment Habits During COVID-19: Evidence from High-Frequency Transaction Data Staff Working Paper 2021-43 Tatjana Dahlhaus, Angelika Welte We examine how consumers have adjusted their payment habits during the COVID-19 pandemic. They seem to perform fewer transactions, spend more in each transaction, use less cash at the point of sale and withdraw cash from ATMs linked to their financial institution more often than from other ATMs. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Domestic demand and components, Payment clearing and settlement systems, Recent economic and financial developments JEL Code(s): C, C2, C22, C5, C55, D, D1, D12, E, E2, E21, E4, E42, E5, E52
Collateral and Credit Supply Staff Working Paper 2003-11 Joseph Atta-Mensah The author examines the role of collateral in an environment where lenders and borrowers possess identical information and similar beliefs about its future value. Using option-pricing techniques, he shows that a secured loan contract is equivalent to a regular bond and an embedded option to the borrower to default. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Economic models JEL Code(s): E, E5, E51, G, G1, G11, G12, G13
An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention Staff Working Paper 1999-4 Neil Beattie, Jean-François Fillion This paper assesses the effectiveness of Canada's official foreign exchange intervention in moderating intraday volatility of the Can$/US$ exchange rate, using a 2-1/2-year sample of 10-minute exchange rate data. The use of high frequency data (higher than daily frequency) should help in assessing the impact of intervention since the foreign exchange market is efficient and […] Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets JEL Code(s): F, F3, F31, G, G1, G15
Tariffs and the Exchange Rate: Evidence from Twitter Staff Working Paper 2021-36 Dmitry Matveev, Francisco Ruge-Murcia Do tariffs affect exchange rates? We look at President Trump’s tweets during talks on the North American Free Trade Agreement and find that anticipation of higher tariffs on imports from Canada and Mexico led to an appreciation of the US dollar relative to Canadian and Mexican currency. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Trade integration JEL Code(s): F, F1, F13, F3, F31