Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns Staff Working Paper 2006-31 Antonio Diez de los Rios, René Garcia Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions JEL Code(s): C, C1, C5, G, G1
August 28, 2006 Productivity, Terms of Trade, and Economic Adjustment Remarks Pierre Duguay Canadian Association for Business Economics Kingston, Ontario The Bank of Canada is keenly interested in productivity - for a number of reasons. Productivity gains are a key determinant of growth in potential output and, hence, of Canada's sustainable pace of non-inflationary economic expansion. Content Type(s): Press, Speeches and appearances, Remarks
August 24, 2006 Bank of Canada Announces the Recipients of its 2006 Law Enforcement Award of Excellence for Counterfeit Deterrence Media Relations Ottawa, Ontario The Bank of Canada is pleased to announce the recipients of its 2006 Law Enforcement Award of Excellence for Counterfeit Deterrence. Content Type(s): Press, Press releases
Multinationals and Exchange Rate Pass-Through Staff Working Paper 2006-30 Alexandra Lai, Oana Secrieru The authors examine the impact of multinational enterprises (MNEs) on exchange rate pass-through in an environment where an MNE engages in Cournot (quantity) competition with domestic and foreign rivals. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Exchange rates, Market structure and pricing JEL Code(s): F, F2, F23, L, L1, L16
The Turning Black Tide: Energy Prices and the Canadian Dollar Staff Working Paper 2006-29 Ramzi Issa, Robert Lafrance, John Murray The authors revisit the relationship between energy prices and the Canadian dollar in the Amano and van Norden (1995) equation, which shows a negative relationship such that higher real energy prices lead to a depreciation of the Canadian dollar. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): F, F3, F31
Estimation of the Default Risk of Publicly Traded Canadian Companies Staff Working Paper 2006-28 Georges Dionne, Sadok Laajimi, Sofiane Mejri, Madalina Petrescu Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Debt management, Econometric and statistical methods, Financial markets, Recent economic and financial developments JEL Code(s): G, G2, G21, G24, G28, G3, G33
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. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
Using Monthly Indicators to Predict Quarterly GDP Staff Working Paper 2006-26 Yi Zheng, James Rossiter The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C2, C22, C5, C53
July 27, 2006 Bank of Canada releases 2007 schedule of dates for its policy interest rate announcements Media Relations Ottawa, Ontario The Bank of Canada today released its 2007 schedule of eight dates for announcing decisions on its key policy interest rate, and confirmed the announcement dates for the remainder of this year. Content Type(s): Press, Press releases
July 20, 2006 The Right Policies for Today's Global Economy Remarks David Dodge Brazil-Canada Chamber of Commerce São Paulo, Brazil Canada and Brazil both rely on international trade and foreign investment for economic growth, and both are major producers of commodities. Because we share these attributes, we also share a keen interest in the health of the global economy. Content Type(s): Press, Speeches and appearances, Remarks