Q1 get all of the monthly data for the tsx composite index

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Reference no: EM13353775

Q. 1. Get all of the monthly data for the TSX composite index (CANSIM series V122620).

a. Present a time series plot of this series and comment on its long run movement.

b. Calculate the mean and standard deviation as well as the maximum and minimum values of the index. What is the standard deviation attempting to measure in this case?

c. Which were the worst and best years in terms of the stock market?

d. Calculate monthly changes and plot the new series. Does the magnitude of the changes in the index increase or decrease towards the end of the sample period?

2. Get the CANSIM monthly data from the earliest possible period (this may differ by series) to 2012 (latest available month) for the following: CAN-US x-rate (V37426), Can-UK x-rate (V37430), the Can-Japan x-rate (V37456), and the Can-Euro x-rate
(V21570998).

a. Present a time series plot of these series and comment on its long run movement. Note that the dollar value of a Yen is quite low and may not show up in this first attempt at
drawing the chart. The remedy in this case, is to draw a secondary y-axis for that series only.

b. Calculate the mean and standard deviation as well as the maximum and minimum values for each series over the sample period. What is the standard deviation attempting to measure in this case?

c. Which were the best and worst decades in terms of x-rate volatility? To answer this question, calculate the standard deviations for each available decade (e.g., the 50s, the
60s, etc.) and present your results in a table.

d. Can you recognize from the graph the period for which Canada was on affixed x-rate regime with the US dollar and the UK pound? What was this period?

3. If the price level recently fell by 5% in Canada while increasing by 20% in Europe, how much must the x-rate change if PPP holds? Assume that the current exchange rate is 0.60 euros per $.

Reference no: EM13353775

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