Narrow search
Showing 1 - 10 of 86
Cover Image
Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence
Gauthier, Celine; Tessier, David - Bank of Canada - 2002
Persistent link: https://www.econbiz.de/10005226960
Cover Image
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
Cover Image
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
Cover Image
Modelling Risk Premiums in Equity and Foreign Exchange Markets
Garcia, René; Kichian, Maral - Bank of Canada - 2000
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables. Similarly,...
Persistent link: https://www.econbiz.de/10005536854
Cover Image
An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia
Gosselin, Marc-André; Parent, Nicolas - Bank of Canada - 2005
) panel cointegration tests as the basis for the estimation of a long-run reserve-demand function in a panel of eight Asian …
Persistent link: https://www.econbiz.de/10005536875
Cover Image
Productivity, the Terms of Trade, and the Real Exchange Rate: The Balassa-Samuelson Hypothesis Revisited
Choudhri, Ehsan U.; Schembri, Lawrence L. - Bank of Canada - 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/10004976803
Cover Image
Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market
Hutchison, Michael; Pasricha, Gurnain Kaur; Singh, Nirvikar - Bank of Canada - 2011
This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) markets using the self-exciting threshold autoregressive (SETAR) methodology. We begin with a detailed narrative on the...
Persistent link: https://www.econbiz.de/10009368873
Cover Image
Nominal Rigidity, Desired Markup Variations, and Real Exchange Rate Persistence
Bouakez, Hafedh - Bank of Canada - 2002
Persistent link: https://www.econbiz.de/10005808283
Cover Image
Simple Monetary Policy Rules in an Open-Economy, Limited-Participation Model
Hendry, Scott; Ho, Wai-Ming; Moran, Kevin - Bank of Canada - 2003
The authors assess the stabilization properties of simple monetary policy rules within the context of a small open-economy model constructed around the limited-participation assumption and calibrated to salient features of the Canadian economy. By relying on limited participation as the main...
Persistent link: https://www.econbiz.de/10005808307
Cover Image
National Saving-Investment Dynamics and International Capital Mobility
Pelgrin, Florian; Schich, Sebastian - Bank of Canada - 2004
The authors analyze the dynamics of national saving-investment relationships to determine the degree of international capital mobility. Following Coakley and Kulasi (1997), the authors interpret the close relationship between national saving and investment in the long run as reflecting a...
Persistent link: https://www.econbiz.de/10005808311