This paper analyzes the effects of official, daily Bank of Canada intervention in the CAD/USD exchange rate market over the January 1995 to September 1998 period. Using an event study methodology and different criteria for effectiveness, movements in the CAD/USD exchange rate over the 1 through...

Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, news in both categories and from both countries has an impact on all financial markets. Canadian...

This paper illustrates that dealers in foreign exchange markets not only provide intraday liquidity, they are key participants in the provision of overnight liquidity. Dealing institutions receive compensation for holding undesired inventory balances in part from the information they receive in...

In this paper, we empirically investigate whether multilateral adjustment to large U.S. external imbalances can help explain movements in the bilateral exchange rates of three commodity currencies---the Australian, Canadian and New Zealand (ACNZ) dollars. To examine the relationship between...

The paper examines the industry characteristics that are related to the shifts in competitiveness, measured as the relative common-currency price ratios between Canadian and US manufacturing prices. We find that relative input costs and relative productivity growth are the two most important...

During the post-1970 period, Canadian manufacturing prices have alternately increased and fallen relative to U.S. prices - just the reverse of the cycle in the Canada - U.S. exchange rate. But not all manufacturing industries have experienced the same amplitude of relative price changes. This...

A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...