Le risque de change des banques canadiennes en contexte de globalisation
Bibliographic record
Abstract
Abstract The sensitivity of Canadian chartered banks to exchange rate risk is analyzed over the period 1988–1995 through estimating the three factor asset pricing model (market, interest rate, and exchange rate). Our results indicate that banks' stocks returns are sensitive to exchange rate risk. The sensitiveness is, however, unstable through time. Furthermore, the market response and the foreign exchange risk change are assessed for some events that may affect the exchange risk profile of Canadian banks. It is noted that investor reaction is different from one event to another. While there is no risk change following the North American Free Trade Agreement, the publication by the Canada Deposit Insurance Corporation of the guide for safe commercial and financial practices was followed by an increase in the exchange rate exposure of Canadian banks. Résumé La sensibilité des rendements des grandes banques à charte canadiennes au risque de change est analysée sur la période allant de 1988 à 1995, via l'estimation du modèle à trois facteurs (marché, taux d'intérêt et taux de change). Nos résultats indiquent que le risque de change influence lesdits rendements. Cet effet n'est toutefois pas stable d'une période à l'autre. Par ailleurs, la réaction boursière et le changement du risque autour d'événements majeurs susceptibles d'affecter l'exposition des banques au risque de change sont analysés. Nous trouvons que les investisseurs ont une réaction différente selon l'événement étudié. Aucun changement de risque n'est noté après l'entrée en vigueur de l'Accord de Libre échange Nord Américain, alors que la publication du code des pratiques commerciales et financières saines par la Société d'Assurance‐Dépôts du Canada a été suivie d'un accroissement de l'exposition des banques au risque de change.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.005 | 0.002 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.002 |
| Science and technology studies | 0.003 | 0.004 |
| Scholarly communication | 0.001 | 0.005 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; both teacher heads agree on what is shown here.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".