The failure of the monetary exchange rate model for the Canadian-U.S. dollar

David Cushman

Canadian Journal of Economics, 2000, vol. 33, issue 3, 591-603

Abstract: In this paper the validity of the monetary exchange rate model in the long run for the Canadian-U.S. dollar exchange rate is examined. The primary test employed is the Johansen (1991) and Johansen and Juselius (1990) cointegration technique. The effects of dummy variables and lag specification on the statistical inference are considered, and Monte Carlo simulations based on the estimated parameters are employed. Despite the use of the longest data set yet for the Canadian case, no evidence is found in favour of the monetary exchange rate model using the Johansen procedures. This result is confirmed by several other cointegration procedures.

JEL-codes: F31 F41 (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
https://links.jstor.org/sici?sici=0008-4085%282000 ... FOTME%3E2.0.CO%3B2-B (text/html)
only available to JSTOR subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cje:issued:v:33:y:2000:i:3:p:591-603

Ordering information: This journal article can be ordered from
https://www.economic ... ionen/membership.php

Access Statistics for this article

Canadian Journal of Economics is currently edited by Zhiqi Chen

More articles in Canadian Journal of Economics from Canadian Economics Association Canadian Economics Association Prof. Werrner Antweiler, Treasurer UBC Sauder School of Business 2053 Main Mall Vancouver, BC, V6T 1Z2. Contact information at EDIRC.
Bibliographic data for series maintained by Prof. Werner Antweiler ().