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Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples
Godbout, Marie-Josée; Norden, Simon van - Bank of Canada - 1997
particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected … of cointegration tests in particular applied settings, and provides information on the potential sources of size … distortion in these tests. Three case studies are presented. The first is the literature on cointegration and prediction of …
Persistent link: https://www.econbiz.de/10005162509
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Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence
Gauthier, Celine; Tessier, David - Bank of Canada - 2002
Persistent link: https://www.econbiz.de/10005226960
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Institutional Quality, Trade, and the Changing Distribution of World Income
Desroches, Brigitte; Francis, Michael - Bank of Canada - 2006
Conventional wisdom holds that institutional changes and trade liberalization are two main sources of growth in per capita income around the world. However, recent research (e.g., Rigobon and Rodrik 2004) suggests that the Frankel and Romer (1999) trade and growth finding is not robust to the...
Persistent link: https://www.econbiz.de/10005162507
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Productivity, the terms of trade and the real exchange rate : the Balassa-Samuelson hypothesis revisited
Choudhri, Ehsan U. - 2009
The paper examines how the Balassa-Samuelson hypothesis is affected by a modern variation of the standard model that allows product differentiation (within the traded and nontraded goods sectors) with the number of firms determined exogenously or endogenously. The hypothesis is found to be...
Persistent link: https://www.econbiz.de/10003933283
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Exchange rate pass-through and monetary policy : how strong is the link?
Murchison, Stephen - 2009
Several authors have presented reduced-form evidence suggesting that the degree of exchange rate pass-through to the consumer price index has declined in Canada since the early 1980s and is currently close to zero. Taylor (2000) suggests that this phenomenon, which has been observed for several...
Persistent link: https://www.econbiz.de/10003933342
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Sterilized Intervention in Emerging-Market Economies: Trends, Costs, and Risks
Lavigne, Robert - Bank of Canada - 2008
The author examines recent trends in sterilized intervention among emerging-market economies, to determine the size and extent of this policy in relation to earlier periods of heavy reserve accumulation. He then analyzes whether the domestic costs and risks of substantial and prolonged...
Persistent link: https://www.econbiz.de/10005220950
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The Canadian Dollar and Commodity Prices: Has the Relationship Changed over Time?
Maier, Philipp; DePratto, Brian - Bank of Canada - 2008
The authors examine the impact of the recent run-up in energy and non-energy commodity prices on the Canadian dollar. Using the Bank of Canada's exchange rate equation, they find that the differences between the actual value of the Canadian exchange rate and the simulated values observed in 2007...
Persistent link: https://www.econbiz.de/10005220951
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External Stability, Real Exchange Rate Adjustment and the Exchange Rate Regime in Emerging-Market Economies
Gervais, Olivier; Schembri, Lawrence; Suchanek, Lena - Bank of Canada - 2011
In emerging-market economies, real exchange rate adjustment is critical for maintaining a sustainable current account position and thereby for helping to reduce macroeconomic and financial instability. The authors examine empirically two related hypotheses: (i) that real exchange rate...
Persistent link: https://www.econbiz.de/10009323066
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An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
Bauer, Gregory H.; Rios, Antonio Diez de los - Bank of Canada - 2012
We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate. We show that it is important to impose restrictions (including global asset pricing, carry...
Persistent link: https://www.econbiz.de/10009493657
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Exchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability
Dong, Wei; Nam, Deokwoo - Bank of Canada - 2011
When prices are sticky, movements in the nominal exchange rate have a direct impact on international relative prices. A relative price misalignment would trigger an adjustment in consumption and employment, and may help to predict future movements in the exchange rate. Although...
Persistent link: https://www.econbiz.de/10009364338