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Understanding the Volatility of the Canadian Exchange Rate

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February 8, 2018
Understanding the Volatility of the Canadian Exchange Rate

Contrary to popular belief, commodity prices are not the best predictor of the future exchange rate for the Canadian dollar, according to new research from the C.D. Howe Institute. In “Understanding the Volatility of the Canadian Exchange Rate”, authors Martin Eichenbaum, Benjamin K. Johannsen, and Sergio Rebelo find the current real exchange rate, (ie., minus inflation) is more useful than commodity prices for forecasting changes in the Canada/US nominal exchange rate. 

Author(s):

Martin Eichenbaum, International Fellow, C.D. Howe Institute; Charles Moskos Professor of Economics, Northwestern University
Martin Eichenbaum
Benjamin K. Johannsen, Senior Economist, Federal Reserve Board
Sergio Rebelo, Professor of Finance, Northwestern University

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© 2014 C.D. Howe Institute. All Rights Reserved.

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© 2014 C.D. Howe Institute. All Rights Reserved.