کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
974027 | 1479790 | 2013 | 11 صفحه PDF | دانلود رایگان |
We analyze bilateral Canadian-US dollar exchange rate movements within a Markov switching framework with two states, one in which the exchange rate is determined by the monetary model, and the other in which its behavior follows the predictions of a Taylor rule exchange rate model. There are a number of regime switches throughout the estimation period 1991:2–2008:12 which we can each relate to particular changes in Canadian monetary policy. These results imply that an active monetary policy stance may account for nonlinearities in the exchange rate-fundamentals nexus. The strong evidence of nonlinearities also confirms the notion that exchange rate movements cannot be explained exclusively in terms of any one particular exchange rate model.
► We analyze exchange rate movements within a Markov switching framework.
► Switching takes place between the monetary and Taylor rule exchange rate models.
► We can relate the regime switches to particular changes in Canadian monetary policy.
► Monetary policy may account for nonlinearities in exchange rate behavior.
Journal: The North American Journal of Economics and Finance - Volume 24, January 2013, Pages 268–278