The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen Staff Discussion Paper 2008-2 Corinne Luu In this paper, the author considers whether fundamentals or other factors can explain the yen's ongoing weakness. In particular, the importance of capital outflows due to the carry trade and longer-term portfolio investment outflows, which may be delaying the adjustment of the yen, are investigated. A simple portfolio model is developed, composed of a speculative […] Content Type(s): Staff research, Staff discussion papers Research Topic(s): Exchange rates, International topics, Recent economic and financial developments JEL Code(s): F, F2, F21, F3, F31, F32, G, G1, G11
Expenditure-Switching Effect and the Choice of Exchange Rate Regime Staff Working Paper 2007-54 Wei Dong The author investigates the quantitative importance of the expenditure-switching effect by developing and estimating a structural sticky-price model nesting both producer currency pricing (PCP) and local currency pricing (LCP) settings. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes, International topics JEL Code(s): F, F3, F4
Testing Uncovered Interest Parity: A Continuous-Time Approach Staff Working Paper 2007-53 Antonio Diez de los Rios, Enrique Sentana Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): F, F3, F31, G, G1, G15
Where Does Price Discovery Occur in FX Markets? Staff Working Paper 2007-52 Chris D'Souza Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15
The Bank of Canada's Version of the Global Economy Model (BoC-GEM) Technical Report No. 98 René Lalonde, Dirk Muir The Bank of Canada's version of the Global Economy Model (BoC-GEM) is derived from the model created at the International Monetary Fund by Douglas Laxton (IMF) and Paolo Pesenti (Federal Reserve Bank of New York and National Bureau of Economic Research). Content Type(s): Staff research, Technical reports Research Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F3, F32, F4, F47
Canada's Pioneering Experience with a Flexible Exchange Rate in the 1950s: (Hard) Lessons Learned for Monetary Policy in a Small Open Economy Staff Working Paper 2007-45 Michael Bordo, Ali Dib, Lawrence L. Schembri This paper revisits Canada's pioneering experience with floating exchange rate over the period 1950–1962. It examines whether the floating rate was the best option for Canada in the 1950s by developing and estimating a New Keynesian small open economy model of the Canadian economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Exchange rates JEL Code(s): E, E3, E32, E37, F, F3, F31, F32, N, N1
Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies Staff Working Paper 2007-41 Jeannine Bailliu, Ali Dib, Takashi Kano, Lawrence L. Schembri In this paper, we empirically investigate whether multilateral adjustment to large U.S. external imbalances can help explain movements in the bilateral exchange rates of three commodity currencies – the Australian, Canadian and New Zealand (ACNZ) dollars. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): C, C1, C11, C2, C22, F, F3, F31, F32
A vision for IMF Surveillance Staff Working Paper 2007-37 Robert Lavigne, Philipp Maier, Eric Santor The ongoing review of the IMF, initiated in 2005 by Managing Director De Rato, presents an excellent opportunity to re-examine the role, functions and governance of the Fund. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, International topics JEL Code(s): F, F3, F33
Oil Price Movements and the Global Economy: A Model-Based Assessment Staff Working Paper 2007-34 Selim Elekdag, René Lalonde, Douglas Laxton, Dirk Muir, Paolo Pesenti We develop a five-region version (Canada, an oil exporter, the United States, emerging Asia and Japan plus the euro area) of the Global Economy Model (GEM) encompassing production and trade of crude oil, and use it to study the international transmission mechanism of shocks that drive oil prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, International topics JEL Code(s): E, E6, E66, F, F3, F32, F4, F47
Domestic versus External Borrowing and Fiscal Policy in Emerging Markets Staff Working Paper 2007-33 Garima Vasishtha Domestic public debt issued by emerging markets has risen significantly relative to international debt in recent years. Some recent empirical evidence also suggests that sovereigns have defaulted differentially on debt held by domestic and external creditors. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, International topics JEL Code(s): F, F3, F30, H, H2, H21, H6, H63