Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets Staff Working Paper 1999-6 Ben Fung, Scott Mitnick, Eli Remolona Theory and empirical evidence suggest that the term structure of interest rates reflects risk premiums as well as market expectations about future inflation and real interest rates. We propose an approach to extracting such premiums and expectations by exploiting both the comovements among interest rates across the yield curve and between two countries, Canada and […] Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Inflation and prices, Interest rates, International topics JEL Code(s): E, E4, E43, G, G1, G12, G15
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
International Capital Mobility and Asset Substitutability: Some Theory and Evidence on Recent Structural Changes Technical Report No. 44 Francesco Caramazza, Kevin Clinton, Agathe Côté, David Longworth This study examines different aspects of the international integration of capital markets. In particular, it attempts to determine whether the changes in controls and regulatory policies that have occurred in the past decade have been associated with a greater degree of market integration. Content Type(s): Staff research, Technical reports Research Topic(s): Balance of payments and components, Financial markets JEL Code(s): F, F2, F20, G, G1, G11, G15