Regime shifts and the Canada/US exchange rate in a multivariate framework

Joscha Beckmann and Robert Czudaj

Economics Letters, 2014, vol. 123, issue 2, 206-211

Abstract: This study re-evaluates the monetary approach for the Canada/U.S. exchange rate and shows that its basic structure can be verified although the coefficients are not consistently in line with theory. Our findings also indicate that exchange rate adjustment is subject to regime shifts.

Keywords: Bayesian econometrics; Cointegration; Exchange rates; Monetary approach; Markov-switching vector error correction model (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:2:p:206-211

DOI: 10.1016/j.econlet.2014.02.005

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