Comparison of the fundamental and monetary models of the Canadian dollar/US dollar exchange rate
by Yu Hsing
International Journal of Economics and Business Research (IJEBR), Vol. 13, No. 1, 2017

Abstract: This paper finds that a higher real interest rate differential, a higher output ratio and a higher differential of the government deficit as a percent of GDP cause the Canadian dollar to depreciate whereas a higher stock price ratio, a higher productivity ratio, and a higher commodity price cause the Canadian dollar to appreciate. In comparison, the fundamental model performs better than the monetary models in both the in-sample and out-of-sample forecasts.

Online publication date: Tue, 24-Jan-2017

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