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

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.

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Year of publication:	2014
Authors:	Beckmann, Joscha ; Czudaj, Robert
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 2, p. 206-211
Publisher:	Elsevier
Subject:	Bayesian econometrics \| Cointegration \| Exchange rates \| Monetary approach \| Markov-switching vector error correction model

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Type of publication:	Article
Classification:	F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010906366