美国与加拿大之间的长期贸易关系:加元与美元的案例

Q4 Business, Management and Accounting Journal of Risk and Financial Management Pub Date : 2024-09-15 DOI:10.3390/jrfm17090411
Ikhlaas Gurrib, Firuz Kamalov, Osama Atayah, Dalia Hemdan, Olga Starkova
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引用次数: 0

摘要

本研究通过分析名义和实际冲击引起的双边汇率,研究美元和加元之间的长期关系。研究方法以结构向量自回归(SVAR)模型为核心,包括脉冲响应分析和方差分解,以解释名义和实际冲击对汇率变动的影响。本研究还将实际冲击分解为加拿大和美国的需求和供给因素,并比较其对名义和实际汇率的影响。研究结果与由特定国家名义因素驱动的冲击进行了比较。本研究使用的是 1972 年 12 月至 2023 年 12 月的季度数据。研究结果表明,实际冲击对名义汇率和实际汇率的影响是永久性的,而名义冲击的影响是暂时性的。具体国家的实际供应方因素比具体国家的实际需求方因素影响更大。特定国家的名义因素几乎不影响美国和加拿大之间的名义和实际汇率。
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Long-Run Trade Relationship between the U.S. and Canada: The Case of the Canadian Dollar with the U.S. Dollar
This study investigates the long-run relationship between the U.S. dollar and the Canadian dollar by analyzing 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. This study also decomposes real shocks into demand and supply factors from both Canada and the U.S. and compares their impacts on the nominal and real exchange rates. The results are compared to shocks driven by country-specific nominal factors. This study uses quarterly data from December 1972 to December 2023. The findings suggest that real shocks have a permanent impact on both the nominal and real exchange rates, compared to nominal shocks, which have a temporary impact. Country-specific real supply-side factors have a more significant impact than country-specific real demand-side factors. Country-specific nominal factors barely impacted the nominal and real exchange rates between the U.S. and Canada.
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来源期刊
CiteScore
4.50
自引率
0.00%
发文量
512
审稿时长
11 weeks
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