Version 1
: Received: 27 July 2024 / Approved: 29 July 2024 / Online: 30 July 2024 (07:48:46 CEST)
How to cite:
Gurrib, I.; Kamalov, F.; Atayah, O.; Hemdan, D.; Starkova, O. Long-Run Trade Relationship between U.S and Canada: The Case of the Canadian Dollar with the U.S. Dollar. Preprints2024, 2024072391. https://doi.org/10.20944/preprints202407.2391.v1
Gurrib, I.; Kamalov, F.; Atayah, O.; Hemdan, D.; Starkova, O. Long-Run Trade Relationship between U.S and Canada: The Case of the Canadian Dollar with the U.S. Dollar. Preprints 2024, 2024072391. https://doi.org/10.20944/preprints202407.2391.v1
Gurrib, I.; Kamalov, F.; Atayah, O.; Hemdan, D.; Starkova, O. Long-Run Trade Relationship between U.S and Canada: The Case of the Canadian Dollar with the U.S. Dollar. Preprints2024, 2024072391. https://doi.org/10.20944/preprints202407.2391.v1
APA Style
Gurrib, I., Kamalov, F., Atayah, O., Hemdan, D., & Starkova, O. (2024). Long-Run Trade Relationship between U.S and Canada: The Case of the Canadian Dollar with the U.S. Dollar. Preprints. https://doi.org/10.20944/preprints202407.2391.v1
Chicago/Turabian Style
Gurrib, I., Dalia Hemdan and Olga Starkova. 2024 "Long-Run Trade Relationship between U.S and Canada: The Case of the Canadian Dollar with the U.S. Dollar" Preprints. https://doi.org/10.20944/preprints202407.2391.v1
Abstract
This paper investigates the long-run relationship between the U.S. dollar and Canadian dollar by defragmenting the bilateral exchange rate induced by nominal and real shocks. The methodology centers on a structural vector autoregressive (SVAR) model, including the analysis of impulse response and variance decomposition to account for the impact of nominal and real shocks on exchange rate movements. The study also decomposes the real shocks into demand and supply factors from both Canada and U.S. and compare their impact on the nominal and real exchange rate. Results are compared to shocks driven by country specific nominal factors. The study is conducted using quarterly based data over December 1972 – December 2023. Findings suggest that the real shocks have a permanent impact on both the nominal and real exchange, compared with nominal shocks which have a temporary impact. Country-specific real supply-side factors have a more discerning impact than country-specific real demand-side factors. Country-specific nominal barely impacted the nominal and real exchange between U.S. and Canada.
Keywords
long-run relationship; structural VAR; U.S. dollar; Canadian dollar; shocks
Subject
Business, Economics and Management, Finance
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
