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The Canadian–US dollar exchange rate over the four decades of the post‐Bretton Woods float: An econometric study allowing for structural breaks

Takamitsu Kurita and Patrick James

Metroeconomica, 2022, vol. 73, issue 3, 856-883

Abstract: The purpose of this study is to establish a theory‐consistent econometric model for the Canadian–US dollar exchange rate over the post‐Bretton Woods floating period, 1975–2021. In pursuing the objective, this paper reviews Canadian history in the context of major political events, bearing in mind the importance of oil for the Canadian economy, and it also assigns importance to allowing for structural breaks in the early 1980s and 2000s observed in the data. The overall empirical results support the fundamental‐based view of the long‐run exchange rate determination. This study also examines long‐run and short‐run influences of oil prices on the exchange rate dynamics because of the anticipated significant role for the US–Canada dyad.

Date: 2022
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Handle: RePEc:bla:metroe:v:73:y:2022:i:3:p:856-883