C4 - Econometric and Statistical Methods: Special Topics

• Speculative Behaviour, Regime-Switching and Stock Market Crashes

  Staff Working Paper 1996-13 Simon van Norden, Huntley Schaller

  This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C4, C40, E, E4, E44, G, G1, G12

• Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined?

  Technical Report No. 76 John Murray, Simon van Norden, Robert Vigfusson

  Greater intervention by the public sector is often proposed as a solution to the increased speculation and excessive price volatility thought to characterize today's competitive world financial system.

  Content Type(s): Staff research, Technical reports Topic(s): Exchange rates JEL Code(s): C, C4, C40, F, F3, F31

• Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach

  Staff Working Paper 1996-1 Robert Vigfusson

  Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C4, C40, G, G1, G12