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The turning black tide: energy prices and the Canadian dollar

Author

Listed:
  • Ramzi Issa
  • Robert Lafrance
  • John Murray

Abstract

This paper revisits the relationship between energy prices and the Canadian dollar, using an equation first developed by Amano and van Norden (1995). They found evidence of a negative relationship between these two variables, such that higher real energy prices led to a depreciation of the Canadian dollar. Based on structural break tests, we find a break point in the sign of this relationship, which changes from negative to positive in the early 1990s. The timing of the break is consistent with major changes in Canada's energy policies and in energy-related cross-border trade and investment.

Suggested Citation

  • Ramzi Issa & Robert Lafrance & John Murray, 2008. "The turning black tide: energy prices and the Canadian dollar," Canadian Journal of Economics, Canadian Economics Association, vol. 41(3), pages 737-759, August.
    • Handle: RePEc:cje:issued:v:41:y:2008:i:3:p:737-759
    DOI: 10.1111/j.1540-5982.2008.00483.x
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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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