Déterminants empiriques du taux de change Canada/´Etats-Unis dans une perspective de court et de long terme
[Empirical determination of exchange rate USA/Canada]
This paper emphasizes on the fundamental macroeconomic variables affecting the Canadian exchange rate. Throughout this work, we use the classical monetary theory and try to validate it in the case of the bilateral exchange rate between Canada and USA. Using an extended version of the model of Chinn (2000) and the equilibrium of both the monetary and financial markets we determine the macroeconomic variables to introduce in such a model. Our results show that the estimated monetary model manages to reproduce general dynamics of the exchange rate and even has to exceed the moving average model within the forecast framework.
|Date of creation:||Aug 2001|
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