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dc.contributor.advisorLucas, Robert F.en_US
dc.creatorYe, Dongmeien_US
dc.date.accessioned2008-01-03T22:07:45Zen_US
dc.date.accessioned2013-01-04T04:23:08Z
dc.date.available2009-01-18T08:00:00Zen_US
dc.date.available2013-01-04T04:23:08Z
dc.date.created2007en_US
dc.date.issued2007en_US
dc.date.submitted2007en_US
dc.identifier.urihttp://hdl.handle.net/10388/etd-01032008-220745en_US
dc.description.abstractUsing the error correction model, we link the long-run behavior of the Canada-US real exchange rate to its short-run dynamics. The equilibrium real exchange rate is determined by the energy and non-energy commodity prices over the period 1973Q1-1992Q1. However such a single long-run relationship does not hold when the sample period is extended to 2004Q4. This breakdown can be explained by the break point which we find at 1993Q3. At the break point, the effect of the energy price shocks on Canada’s real exchange rate turns from negative to positive while the effect of the non-energy commodity price shocks is constantly positive. We find that after one year 40.03% of the gap between the actual and equilibrium real exchange rate is closed. The Canada-US interest rate differential affects the real exchange rate temporarily. The Canada’s real exchange rate depreciates immediately after a decrease in Canada’s interest rate and appreciates next quarter but not by as much as it has depreciated.en_US
dc.language.isoen_USen_US
dc.subjectMacroeconomicsen_US
dc.subjectError correction modelen_US
dc.subjectCanada-US real exchange rateen_US
dc.titleError correction model estimation of the Canada-US real exchange rateen_US
thesis.degree.departmentEconomicsen_US
thesis.degree.disciplineEconomicsen_US
thesis.degree.grantorUniversity of Saskatchewanen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Arts (M.A.)en_US
dc.type.materialtexten_US
dc.type.genreThesisen_US


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