Cointegration analysis with structural breaks and deterministic trends: an application to the Canadian dollar
AbstractThis article applies recent developments in cointegration analysis with structural breaks and deterministic trends to analyse the relationship between the real Canada-US exchange rate and commodity prices. Previous empirical studies disagree on whether these variables are cointegrated. The root of disagreement could be in the handling of deterministic trends and potential structural breaks. I find that even after controlling for these matters, the question of whether the real exchange rate and commodity prices are cointegrated for Canada remains unresolved.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 42 (2010)
Issue (Month): 23 ()
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- Chaban, Maxym, 2011. "Home bias, distribution services and determinants of real exchange rates," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 793-806.
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