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Comparison of the fundamental and monetary models of the Canadian dollar/US dollar exchange rate

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  • Yu Hsing

Abstract

This paper finds that a higher real interest rate differential, a higher output ratio and a higher differential of the government deficit as a percent of GDP cause the Canadian dollar to depreciate whereas a higher stock price ratio, a higher productivity ratio, and a higher commodity price cause the Canadian dollar to appreciate. In comparison, the fundamental model performs better than the monetary models in both the in-sample and out-of-sample forecasts.

Suggested Citation

  • Yu Hsing, 2017. "Comparison of the fundamental and monetary models of the Canadian dollar/US dollar exchange rate," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 13(1), pages 22-29.
    • Handle: RePEc:ids:ijecbr:v:13:y:2017:i:1:p:22-29
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