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Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?

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Author Info

  • Murray, J.
  • Van Norden, S.
  • Vigfusson, R.

Abstract

Greater intervention by the public sector is often proposed as a solution to the increased speculation and excessive price volatility through to characterize today's competitive world financial system. However, before any ambitious policy responses can be contemplated, the question whether asset prices are in fact subject to excess volatility needs to be answered. This paper tries to answer the question by using the Canadian dollar as representative asset and testing for excess volatility and speculative bubbles. In the main, the empirical sections of the paper provide little support for the execess volatility argument and the subsequent need for government intervention

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File URL: http://www.bankofcanada.ca/en/res/tr/1996/tr76.pdf
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Bibliographic Info

Paper provided by Bank of Canada in its series Technical Reports with number 76.

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Length: 43 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bca:bocatr:76

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Keywords: PRICES; FINANCIAL MARKET;

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References

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Citations

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Cited by:
  1. Murray, John, 2000. "Why Canada needs a flexible exchange rate," The North American Journal of Economics and Finance, Elsevier, vol. 11(1), pages 41-60, August.
  2. Binyam Solomon, 2003. "Defence specific inflation: A Canadian perspective," Defence and Peace Economics, Taylor & Francis Journals, vol. 14(1), pages 19-36.
  3. Corrinne Ho & Robert N. McCauley, 2003. "Living with flexible exchange rates: issues and recent experience in inflation targeting emerging market economies," BIS Working Papers 130, Bank for International Settlements.
  4. corrinne ho & robert n mccauley, 2004. "Living with flexible exchange rates:," International Finance 0411003, EconWPA.
  5. Robineau, François-Mathieu & Bessec, Marie, 2003. "Comportements chartistes et fondamentalistes : Coexistence ou domination alternative sur le marché des changes ?," Economics Papers from University Paris Dauphine 123456789/10086, Paris Dauphine University.
  6. David Laidler, 1999. "Canada's Exchange Rate Options," Canadian Public Policy, University of Toronto Press, vol. 25(3), pages 324-332, September.
  7. Sven Arndt, 2002. "The Pros and Cons of North American Monetary Integration," Claremont Colleges Working Papers 2002-09, Claremont Colleges.
  8. William R. White, 1999. "Evolving international financial markets: some implications for Central Banks," BIS Working Papers 66, Bank for International Settlements.
  9. Jeff M. Rogers & Pierre Siklos, 2001. "Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience," Research Paper Series 57, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Murray, John & Mark Zelmer & Zahir Antia, 2000. "International Financial Crises and Flexible Exchange Rates: Some Policy Lessons from Canada," Technical Reports 88, Bank of Canada.
  11. Neil, Beattie & Fillion, Jean-François, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Working Papers 99-4, Bank of Canada.
  12. Laidler, David, 1999. "The Exchange Rate Regime and Canada's Monetary Order," Working Papers 99-7, Bank of Canada.
  13. William R. White, 2000. "What have we learned from recent financial crises and policy responses?," BIS Working Papers 84, Bank for International Settlements.

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