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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

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

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

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

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

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

Exchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability

Dong, Wei; Nam, Deokwoo - Bank of Canada - 2011

relative price misalignment would trigger an adjustment in consumption and employment, and may help to predict future movements … misalignment may be indicated by price differentials for some goods, which could then have predictive power for subsequent re … and examine the resulting price-misalignment model’s predictive power for the nominal exchange rates between the U …

Persistent link: https://www.econbiz.de/10009364338

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

Nominal Rigidity, Desired Markup Variations, and Real Exchange Rate Persistence

Bouakez, Hafedh - Bank of Canada - 2002

Persistent link: https://www.econbiz.de/10005808283

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