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

Author

Listed:
  • John Murray
  • Simon van Norden
  • Robert Vigfusson

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

Suggested Citation

  • John Murray & Simon van Norden & Robert Vigfusson, 1996. "Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?," Technical Reports 76, Bank of Canada.
    • Handle: RePEc:bca:bocatr:76
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    File URL: https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr76.pdf
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    Citations

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    Cited by:

    1. Rogers, J. M. & Siklos, P. L., 2003. "Foreign exchange market intervention in two small open economies: the Canadian and Australian experience," Journal of International Money and Finance, Elsevier, vol. 22(3), pages 393-416, June.
    2. repec:dau:papers:123456789/10086 is not listed on IDEAS
    3. 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.
    4. John Murray & Mark Zelmer & Zahir Antia, 2000. "International Financial Crises and Flexible Exchange Rates: Some Policy Lessons from Canada," Technical Reports 88, Bank of Canada.
    5. David Laidler, 1999. "Canada's Exchange Rate Options," Canadian Public Policy, University of Toronto Press, vol. 25(3), pages 324-332, September.
    6. William R. White, 2000. "What have we learned from recent financial crises and policy responses?," BIS Working Papers 84, Bank for International Settlements.
    7. David Laidler, 1999. "The Exchange Rate Regime and Canada's Monetary Order," Staff Working Papers 99-7, Bank of Canada.
    8. 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.
    9. Neil Beattie & Jean-François Fillion, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Staff Working Papers 99-4, Bank of Canada.
    10. Binyam Solomon, 2003. "Defence specific inflation: A Canadian perspective," Defence and Peace Economics, Taylor & Francis Journals, vol. 14(1), pages 19-36.
    11. William R. White, 1999. "Evolving international financial markets: some implications for Central Banks," BIS Working Papers 66, Bank for International Settlements.
    12. corrinne ho & robert n mccauley, 2004. "Living with flexible exchange rates:," International Finance 0411003, University Library of Munich, Germany.

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    More about this item

    Keywords

    PRICES; FINANCIAL MARKET;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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