Excess Volatility And Speculative Bubbles In The Canadian Dollar

Author : John David Murray,Simon Van Norden,Bank of Canada,Robert Vigfusson
Publisher : Unknown
Page : 43 pages
File Size : 49,6 Mb
Release : 1996
Category : Canada
ISBN : 0662249097

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Excess Volatility and Speculative Bubbles in the Canadian Dollar by John David Murray,Simon Van Norden,Bank of Canada,Robert Vigfusson Pdf

Greater intervention by the public sector is often proposed as a solution to the increased speculation and excessive price volatility thought to characterise today's competitive world financial system. This paper attempts to determine whether financial asset prices are in fact subject to excess volatility, using the Canadian dollar as a representative asset. The first section describes the behaviour of the Canadian dollar over 25 years beginning in June 1970, when Canada decided to return to a flexible rate system. Broad movements in the dollar as well as daily changes are examined and compared with those of other major currencies and financial assets. This is followed by a series of tests designed to check for persistent misalignments in the currency. A reduced-form model of real exchange rate determination is estimated using cointegration techniques, and the analysis is extended with a test for speculative bubbles based on a regime-switching specification in which the market is dominated at different times by speculative traders and other agents guided by more fundamental factors. The paper concludes with a discussion of the policy implications of the results obtained.

Author : G.P. Dwyer,R.W. Hafer
Publisher : Springer Science & Business Media
Page : 206 pages
File Size : 42,6 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9789401578813

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The Stock Market: Bubbles, Volatility, and Chaos by G.P. Dwyer,R.W. Hafer Pdf

Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.

Author : Dominick Salvatore,James W. Dean,Thomas Willett
Publisher : Oxford University Press
Page : 496 pages
File Size : 40,6 Mb
Release : 2003-03-27
Category : Business & Economics
ISBN : 9780198035367

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The Dollarization Debate by Dominick Salvatore,James W. Dean,Thomas Willett Pdf

This book takes a global approach, with an emphasis on North and Latin America respectfully, by discussing one of today's most controversial topics in business; Dollarization. With the collapse of the former Soviet Union, and the formation of the Euro in Europe, many countries and debating whether or not a common currency is in their best interest. This intriguing volume brings together the leading participants in the current dollarization debates. Many advocate the notion of a common currency, while others feel that in doing so will create financial costs for all that take part, with the severity varying from country to country.

Author : Colin Crouch
Publisher : OUP Oxford
Page : 304 pages
File Size : 44,9 Mb
Release : 2000-03-09
Category : Business & Economics
ISBN : 9780191522642

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After the Euro by Colin Crouch Pdf

Now that the process of full implementation of European Monetary Union has begun, it is time to shift attention away from the process of introduction to the implications that the common currency will have for a wide range of institutions and policy areas. The wider political and social institutions of the European Union are not well developed there is an institutional deficit which parallels the more widely know democratic deficit. Monetary arrangements of nation states are imbedded in a range of political, cultural, economic and historical factors. Will mechanisms of these kinds eventually develop at the European level? Can national structures adapt to meet the challenge? The contributors to After the Euro tackle these questions and in doing so, take the debate beyond the economic and sovereignty questions which have so far dominated the debate.

Author : Joseph R. Bisignano,William C. Hunter,George G. Kaufman
Publisher : Springer Science & Business Media
Page : 434 pages
File Size : 48,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461543671

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Global Financial Crises by Joseph R. Bisignano,William C. Hunter,George G. Kaufman Pdf

Since 1990, major banking and current crises have occurred in many countries throughout the world - including Mexico and Latin America in 1994-95, East Asia in 1997-98, and Russia and Brazil in 1998 - with large costs both to the individual countries experiencing the crises and to other nations. As a result, considerable effort has been expended by economists and policymakers to identify the causes of these crises and to design programs with the aim both of preventing similar crises from occurring in the future, and of minimizing the costs when these do occur. These studies have cut across national boundaries, being undertaken by individual researchers and organizations in particular countries, as well as by international institutions. This book collects the papers and discussants' comments presented at a conference co-sponsored by the Federal Reserve Bank of Chicago and the Bank for International Settlements in Basel, Switzerland, and held in Chicago, in early October 1999. The purpose of the conference was to identify and discuss the lessons to be learned from these crises. Topics discussed included reviews of the crises in the individual countries and regions; analyses of the policy responses, both by the affected countries and by official international institutions; what has been learned from these crises; deposit insurance reform; the design of bank capital regulation; the role of bank supervision and regulation; and the future of official international financial institutions, such as the International Monetary Fund and the World Bank. The conference participants included a broad range of academic, industry, and regulatory experts from more than twenty-five countries. Because of the timeliness of the conference and the wide-ranging expertise of the participants, the papers in this book should be of significant interest both to students of financial crises and to domestic and international policymakers.

Author : Anonim
Publisher : Unknown
Page : 48 pages
File Size : 47,6 Mb
Release : 1999
Category : Canada
ISBN : UCAL:$C94422

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Document de Travail by Anonim Pdf

Author : David Bolder,David Stréliski,Bank of Canada
Publisher : Unknown
Page : 70 pages
File Size : 42,5 Mb
Release : 1999
Category : Government securities
ISBN : 0662276027

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Yield Curve Modelling at the Bank of Canada by David Bolder,David Stréliski,Bank of Canada Pdf

Author : Anonim
Publisher : Unknown
Page : 1490 pages
File Size : 53,6 Mb
Release : 1999
Category : Canada
ISBN : UCAL:B5015766

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The Canadian Journal of Economics by Anonim Pdf

A general interest journal in economics.

Author : University of Calgary,Canada. Industry Canada
Publisher : Calgary : University of Calgary Press
Page : 720 pages
File Size : 44,9 Mb
Release : 2003
Category : Business & Economics
ISBN : UCSD:31822033030412

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North American Linkages by University of Calgary,Canada. Industry Canada Pdf

Globalization continues to link the economies of all three North American partners into the world economy. At the same time, Canada's trade linkages with the U.S. and Mexico are growing rapidly and continue to evolve, creating new opportunities and some unique challenges. The overall policy challenge for Canada is how to better manage challenges and maximize opportunities presented by the growing North American linkages.Over thirty internationally renowned experts contribute to this in-depth volume on important policy issues of deepening North American linkages.

Author : John David Murray,James Powell,Bank of Canada
Publisher : Unknown
Page : 60 pages
File Size : 42,5 Mb
Release : 2002
Category : Dollar, American
ISBN : UCBK:C087859553

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Dollarization in Canada by John David Murray,James Powell,Bank of Canada Pdf

The possible potential benefits of Canada formally adopting the US dollar -- is this debate irrelevant since the Canadian economy is already highly 'dollarized"?, etc. --Abstract.

Author : Seamus Hogan,Marianne Johnson,Bank of Canada,Thérèse Laflèche
Publisher : Unknown
Page : 74 pages
File Size : 43,5 Mb
Release : 2001
Category : Inflation (Finance)
ISBN : UCBK:C080380553

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Core Inflation by Seamus Hogan,Marianne Johnson,Bank of Canada,Thérèse Laflèche Pdf

Author : Alain Guay,Pierre St-Amant,Bank of Canada
Publisher : Unknown
Page : 56 pages
File Size : 40,8 Mb
Release : 1996
Category : Business cycles
ISBN : UCR:31210010758421

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Do Mechanical Filters Provide a Good Approximation of Business Cycles? by Alain Guay,Pierre St-Amant,Bank of Canada Pdf

In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King, 1995 (BK) extract the business-cycle component of macroeconomic time series. The authors assess these filters using two different definitions of the business-cycle component. First, they define that component to be fluctuations lasting no fewer than six and no more than 32 quarters; this is the BK definition of business-cycle frequencies. Second, they define the business-cycle component on the basis of a decomposition of the series into permanent and transitory components. A simulation study assesses how well these filters retrieve the cyclical component of a time series composed of a random walk and a transitory component. The authors also compare the cyclical component resulting from the application of the HP and BK filters with those obtained with the detrending methods proposed by Watson (1986) and Cochrane (1994) for United States output. Alternative methods are proposed to identify the business-cycle component.

Author : Anonim
Publisher : Unknown
Page : 378 pages
File Size : 44,8 Mb
Release : 2002
Category : Canada
ISBN : MINN:31951P01089648Y

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Technical Report by Anonim Pdf

Author : Anonim
Publisher : Unknown
Page : 486 pages
File Size : 42,8 Mb
Release : 2003
Category : Economics
ISBN : UOM:39015079718345

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Revue économique by Anonim Pdf

Author : William R. White
Publisher : Unknown
Page : 44 pages
File Size : 41,8 Mb
Release : 1999
Category : Banks and banking
ISBN : IND:30000062302900

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Evolving International Financial Markets by William R. White Pdf