Staff Research
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Multinationals and Exchange Rate Pass-Through
The authors examine the impact of multinational enterprises (MNEs) on exchange rate pass-through in an environment where an MNE engages in Cournot (quantity) competition with domestic and foreign rivals. -
The Turning Black Tide: Energy Prices and the Canadian Dollar
The authors revisit the relationship between energy prices and the Canadian dollar in the Amano and van Norden (1995) equation, which shows a negative relationship such that higher real energy prices lead to a depreciation of the Canadian dollar. -
Estimation of the Default Risk of Publicly Traded Canadian Companies
Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. -
Can Affine Term Structure Models Help Us Predict Exchange Rates?
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression. -
Using Monthly Indicators to Predict Quarterly GDP
The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter.