IDEAS home Printed from https://ideas.repec.org/a/mve/journl/v27y2001i2p19-35.html
   My bibliography  Save this article

Foreign Exchange Rates, Asymmetric Adjustment and Threshold Co-integration: Empirical Evidence from Canada

Author

Listed:
  • Subarna K. Samanta

    (The College of New Jersey)

  • Ali H. M. Zadeh

    (Susquehanna University)

Abstract

This paper provides an empirical analysis of the adjustment process that exists in the foreign exchange market, especially, between spot exchange rates and forward exchange rates. This paper uses monthly observations of Canadian and U.S. dollar exchange rates for the period of 1973-1994. Employing the threshold auto-regression and threshold co-integration methodologies; our findings indicate the presence of a strong asymmetric adjustment process. This adjustment process is more persistent when the exchange rate differential is positive. Although, we have found the existence of a weak threshold co-integrating relationship between the current spot rates and expected future rates, the error correction estimation does not provide us with any conclusive inference about the process of adjustment. These results imply that the Central Bank of Canada may formulate a more appropriate policy regarding intervention in the foreign exchange market.

Suggested Citation

  • Subarna K. Samanta & Ali H. M. Zadeh, 2001. "Foreign Exchange Rates, Asymmetric Adjustment and Threshold Co-integration: Empirical Evidence from Canada," Journal of Economic Insight, Missouri Valley Economic Association, vol. 27(2), pages 19-35.
    • Handle: RePEc:mve:journl:v:27:y:2001:i:2:p:19-35
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mve:journl:v:27:y:2001:i:2:p:19-35. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ken Brown (email available below). General contact details of provider: https://edirc.repec.org/data/mveaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.