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

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  • Beckmann, Joscha
  • Czudaj, Robert

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.

Suggested Citation

  • Beckmann, Joscha & Czudaj, Robert, 2014. "Regime shifts and the Canada/US exchange rate in a multivariate framework," Economics Letters, Elsevier, vol. 123(2), pages 206-211.
    • Handle: RePEc:eee:ecolet:v:123:y:2014:i:2:p:206-211
    DOI: 10.1016/j.econlet.2014.02.005
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    More about this item

    Keywords

    Bayesian econometrics; Cointegration; Exchange rates; Monetary approach; Markov-switching vector error correction model;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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