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This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) ma[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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This paper studies the sensitivity of Canadian producer prices to the Canada-U.S. exchange rate. Using a unique product-level price data set, we estimate and analyze the [...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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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 a[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities sig[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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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[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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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[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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This paper illustrates that dealers in foreign exchange markets not only provide intraday liquidity, they are key participants in the provision of overnight liquidity. De[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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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 estima[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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Given the increasing interdependence of both financial systems and attendant payment and settlement systems a vital question is what form should optimal policy take when [...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the number of observations per contract period is large relative to the sa[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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