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Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market
Hutchison, Michael; Pasricha, Gurnain Kaur; Singh, Nirvikar - Bank of Canada - 2011
parity utilizing data from the 3-month offshore non-deliverable rupee forward market. We estimate a no-arbitrage band using … restricting outflows to effectively restricting inflows; and that arbitrage activity closes deviations from CIP when the threshold … boundaries are exceeded in all sub-samples. Moreover, our results indicate a significant reduction in the barriers to arbitrage …
Persistent link: https://www.econbiz.de/10009368873
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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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McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates
Rios, Antonio Diez de los - Bank of Canada - 2008
McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to...
Persistent link: https://www.econbiz.de/10005808355
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Where Does Price Discovery Occur in FX Markets?
D'Souza, Chris - Bank of Canada - 2007
Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York. Evidence suggests that informational asymmetries based...
Persistent link: https://www.econbiz.de/10005162392
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Can Affine Term Structure Models Help Us Predict Exchange Rates?
Rios, Antonio Diez de los - Bank of Canada - 2006
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate …
Persistent link: https://www.econbiz.de/10005162430
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Testing Uncovered Interest Parity: A Continuous-Time Approach
Rios, Antonio Diez de los; Sentana, Enrique - Bank of Canada - 2007
observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable …
Persistent link: https://www.econbiz.de/10005162461
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An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention
Neil, Beattie; Fillion, Jean-François - Bank of Canada - 1999
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...
Persistent link: https://www.econbiz.de/10005162465
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The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar
King, Michael R.; Fatum, Rasmus - Bank of Canada - 2005
The Bank of Canada is one of very few central banks that has made records of the intraday timing of its intervention operations available to researchers. The authors investigate the effectiveness of sterilized intervention in the Canadian dollar exchange rate market over the period January 1995...
Persistent link: https://www.econbiz.de/10005162510
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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
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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