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Prévision du taux de change dollar canadien contre dollar américain : une approche en termes de "fondamentaux"

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  • Mark P. Taylor

Abstract

[fre] Prévision du taux de change dollar canadien contre dollar américain : une approche en termes de "fondamentaux" . par Mark P. Taylor . Nous développons et estimons une équation de prévision pour le taux de change dollar canadien-dollar américain en conditionnant sur les déterminants de court et de long termes du taux de change. L'équation a de meilleures performances que celle développée par la Banque du Canada et a de bonnes propriétés statistiques. Cependant, le modèle présente certaines caractéristiques keynésiennes qui, dans le long terme, sont surprenantes. [eng] Forecasting the Canadian-US Dollar Exchange Rate: An Approach in Terms of "Fundamentals" . by Mark P. Taylor . We develop and estimate a forecasting equation for the Canadian-US dollar exchange rate by conditioning on short-run and determinants of the exchange rate. The equation performs well compared with an equation developed by the Bank of is statistically well-determined. The model does, however, have certain Keynesian features which, at the long-run intriguing.

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File URL: http://dx.doi.org/doi:10.3406/ecop.1996.5789
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File URL: http://www.persee.fr/articleAsPDF/ecop_0249-4744_1996_num_123_2_5789/ecop_0249-4744_1996_num_123_2_5789.pdf?mode=light
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Bibliographic Info

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 123 (1996)
Issue (Month): 2 ()
Pages: 45-51

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5789

Note: DOI:10.3406/ecop.1996.5789
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  3. Ronald MacDonald & Mark P. Taylor, 1992. "The Monetary Approach to the Exchange Rate," IMF Working Papers 92/34, International Monetary Fund.
  4. Neil R. Ericsson, 1991. "Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration," International Finance Discussion Papers 412, Board of Governors of the Federal Reserve System (U.S.).
  5. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  6. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
  7. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-22, September.
  8. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  9. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
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