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Modélisation et prévision du taux de change réel effectif américain

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  • René Lalonde
  • Patrick Sabourin
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    Abstract

    This study describes a simple model for predicting the real U.S. exchange rate. Starting with a large number of error-correction models, the authors choose the one giving the best out-of-sample forecasts over the period 1992Q3 - 2002Q1. In the selected model, the effective real exchange rate is cointegrated with relative productivity and the real price of oil. The short-term dynamics depend upon the evolution of the difference in GDP growth rates, the first difference of the ratio of net foreign assets to GDP, the real interest rate differential, and shocks that have a temporary effect on the real price of oil and relative productivity. Out-of-sample forecasts reveal that the model generates mean-squared errors that are systematically and statistically much lower than those from a random-walk or an autoregressive model. This result is largely due to the great stability of the parameters of the cointegration relationship.

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    Bibliographic Info

    Paper provided by Bank of Canada in its series Working Papers with number 03-3.

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    Length: 35 pages
    Date of creation: 2003
    Date of revision:
    Handle: RePEc:bca:bocawp:03-3

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    Related research

    Keywords: Econometric and statistical methods; Economic models; International topics; Exchange rates;

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    1. Engel, C., 1996. "Accounting for U.S. Real Exchange Rate Changes," Discussion Papers in Economics at the University of Washington 96-02, Department of Economics at the University of Washington.
    2. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
    3. Jerome L. Stein, 1995. "The Fundamental Determinants of the Real Exchange Rate of the U. S. Dollar Relative to Other G-7 Currencies," IMF Working Papers 95/81, International Monetary Fund.
    4. Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, vol. 70(5), pages 960-71, December.
    5. Meese, R. & Rogoff, K., 1988. "Was It Real? The Exchange Rate-Interest Differential Ralation Over The Modern Floating-Rate Period," Working papers 368, Wisconsin Madison - Social Systems.
    6. Stein, Jerome L., 1990. "The real exchange rate," Journal of Banking & Finance, Elsevier, vol. 14(5), pages 1045-1078, November.
    7. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-94, November.
    8. Alain Paquet, 1994. "A Guide to Applied Modern Macroeconometrics," Documents techniques CREFE / CREFE Technical Papers 1, CREFE, Université du Québec à Montréal.
    9. Baxter, Marianne, 1994. "Real exchange rates and real interest differentials: Have we missed the business-cycle relationship?," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 5-37, February.
    10. René Lalonde & Zhenhua Zhu & Frédérick Demers, 2003. "Forecasting and Analyzing World Commodity Prices," Working Papers 03-24, Bank of Canada.
    11. R. Dornbusch, 1975. "Exchange Rate Dynamics," Working papers 167, Massachusetts Institute of Technology (MIT), Department of Economics.
    12. John Williamson, 1994. "Estimating Equilibrium Exchange Rates," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 17.
    13. Matthew B. Canzoneri & Robert E. Cumby & Behzad Diba, 1996. "Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries," NBER Working Papers 5676, National Bureau of Economic Research, Inc.
    14. Ronald MacDonald & Jun Nagayasu, 2000. "The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study," IMF Staff Papers, Palgrave Macmillan, vol. 47(1), pages 5.
    15. Cedric Tille & Nicolas Stoffels & Olga Gorbachev, 2001. "To what extent does productivity drive the dollar?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 7(Aug).
    16. Paquet, A., 1994. "A Guide to Applied Modern Macroeconometrics," Working Papers-Department of Finance Canada 1994-5, Department of Finance Canada.
    17. Ronald Mac Donald, 1998. "What Do We Really Know About Real Exchange Rates?," Working Papers 28, Oesterreichische Nationalbank (Austrian Central Bank).
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