Review of World Economics

, Volume 128, Issue 1, pp 21–33 | Cite as

Canadian foreign exchange policies: Intervention, control, cointegration

  • G. Geoffrey Booth
  • Mustafa Chowdhory


Exchange Rate Interest Rate Monetary Policy Central Bank Unit Root 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Kanadische Wechselkurspolitik: Intervention, Kontrolle, Kointegration. - Die Verfasser testen unter Rückgriff auf die Kointegrationstechnik und den Ansatz der optimalen Kontrolle, wie sich die offiziellen Interventionen der Bank of Canada auf den Devisenkurs zwischen dem kanadischen und amerikanischen Dollar ausgewirkt haben. Wenn sich die Bank des Ansatzes der optimalen Kontrolle bedient, um ihre Interventionen zu steuern, und keine Sterilisierungsmaßnahmen anwendet, dann sind Wechselkurs, sein Zielwert und der kanadische Zinssatz im dynamischen Gleichgewicht miteinander verbunden. Die Existenz dieser dynamischen Gleichgewichtsbeziehung wird mit Hilfe von multivariaten Kointegrationsmethoden getestet und bestätigt.


Les politiques canadiennes du taux de change: intervention, contrôle, et co-intégration. - Les méthodes de contrôle optimal et de co-intégration sont utilisés pour tester l’effet de l’intervention officiel par la Banque de Canada sur le cours dollar canadien/dollar américain. Si la Banque utilise l’approche de contróle optimal pour diriger ses interventions et ne prend pas de mesures de stérilisation, il existe une relation d'équilibre dynamique entre le taux de change actuel, le taux de change désiré et le taux d'intérêt canadien. En utilisant les méthodes de co-intégration aux variables multiples, on a affirmé l’existence d'une relation d'équilibre dynamique.


Las politicas de cambio canadienses: intervention, control, cointegración.- En este trabajo se utiliza un enfoque mixto de control óptimo y cointegración para llevar a cabo un test del impacto de una interventión oficial por parte del Banco del Canada en el mercado de cambios Canadá-EE UU. Si el banco utiliza control óptimo para guiar sus politicas de interventión y no emplea procedimientos de esterilización existe una relación de equilibrio dinámica entre la tasa de cambio, su valor meta y la tasa de interés canadiense. La existencia de una relación de equilibrio dinámica es verificada empíricamente aplicando métodos multivariantes de cointegración. La hipótesis nula de no cointegración es rechazada, con lo cual se implica la existencia de un equilibrio dinámico.


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Copyright information

© Institut fur Weltwirtschaft an der Universitat Kiel 1992

Authors and Affiliations

  • G. Geoffrey Booth
  • Mustafa Chowdhory

There are no affiliations available

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