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The Share of Systematic Variations in the Canadian Dollar—Part III

Author

Listed:
  • Guillaume Nolin
  • James Kyeong
  • Jean-Sébastien Fontaine

Abstract

We draw a parallel between the dramatic increases of systematic variations in exchange rates and international bank lending. We find that when a country’s currency has a larger share of systematic variations, lending flows by international banks to that country become more sensitive to global lending - they also become more systematic. This parallel is particularly prevalent for large commodity exporters, including Canada. Global financial intermediation may open a new channel between the real economy and exchange rates.

Suggested Citation

  • Guillaume Nolin & James Kyeong & Jean-Sébastien Fontaine, 2018. "The Share of Systematic Variations in the Canadian Dollar—Part III," Staff Analytical Notes 2018-13, Bank of Canada.
  • Handle: RePEc:bca:bocsan:18-13
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    File URL: https://www.bankofcanada.ca/2018/05/staff-analytical-note-2018-13/
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    References listed on IDEAS

    as
    1. Jean-Sébastien Fontaine & Guillaume Nolin, 2016. "The Share of Systematic Variations in the Canadian Dollar—Part I," Staff Analytical Notes 16-15, Bank of Canada.
    2. Bruno, Valentina & Shin, Hyun Song, 2015. "Capital flows and the risk-taking channel of monetary policy," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 119-132.
    3. Jean-Philippe Cayen & Donald Coletti & René Lalonde & Philipp Maier, 2010. "What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates," Staff Working Papers 10-5, Bank of Canada.
    4. Petia Topalova & Mr. Jaime Guajardo & Mr. John C Bluedorn & Rupa Duttagupta, 2013. "Capital Flows are Fickle: Anytime, Anywhere," IMF Working Papers 2013/183, International Monetary Fund.
    5. Jean-Sébastien Fontaine & Guillaume Nolin, 2017. "The Share of Systemic Variations in the Canadian Dollar—Part II," Staff Analytical Notes 17-1, Bank of Canada.
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    Cited by:

    1. Lutz Kilian & Xiaoqing Zhou, 2022. "The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 953-987, June.
    2. Jean-Sébastien Fontaine & Guillaume Nolin, 2017. "The Share of Systemic Variations in the Canadian Dollar—Part II," Staff Analytical Notes 17-1, Bank of Canada.
    3. Jean-Sébastien Fontaine & Guillaume Nolin, 2016. "The Share of Systematic Variations in the Canadian Dollar—Part I," Staff Analytical Notes 16-15, Bank of Canada.

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    More about this item

    Keywords

    Exchange rates;

    JEL classification:

    • F - International Economics
    • F3 - International Economics - - International Finance
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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