Long-term trend and short-run dynamics of the Canadian dollar: an error correction modelling approach

Using quarterly data for 1972-2000, the paper examines the long-term and short-term movements of the US-Canadian exchange rate. It is found that the standard purchasing power parity condition fails to explain movements of the Canadian dollar. The explanatory power of the model increases significantl...

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Bibliographic Details
Published inApplied economics Vol. 35; no. 13; pp. 1527 - 1530
Main Authors Moazzami, B., Anderson, F. J.
Format Journal Article
LanguageEnglish
Published London Taylor & Francis Group 01.09.2003
Taylor and Francis Journals
Taylor & Francis Ltd
SeriesApplied Economics
Subjects
Applied economics
Canada
Canadian dollar
Currencies
Dollar
Dynamics
Economic models
Economic theory
Economics
Exchange rates
Foreign exchange rates
Long-term analysis
Purchasing power parity
Short-term analysis
Studies
Canada
United States > US
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Summary:Using quarterly data for 1972-2000, the paper examines the long-term and short-term movements of the US-Canadian exchange rate. It is found that the standard purchasing power parity condition fails to explain movements of the Canadian dollar. The explanatory power of the model increases significantly when resource commodity prices are added to the equation. Short-term movements in the Canadian dollar are influenced by the interest rate differential between Canada and the USA.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0003-6846
1466-4283
DOI:10.1080/0003684032000090627