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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]

Author

Listed:
  • Douch, Mohamed

Abstract

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.

Suggested Citation

  • Douch, Mohamed, 2001. "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]
    ," MPRA Paper 6172, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:6172
    as

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    File URL: https://mpra.ub.uni-muenchen.de/6172/1/MPRA_paper_6172.pdf
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    More about this item

    Keywords

    Exchange rate; empirical determination;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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