The turning black tide: energy prices and the Canadian dollar
Authors: Issa, Ramzi; Lafrance, Robert; Murray, John
Source: Canadian Journal of Economics, Volume 41, Number 3, August/août 2008 , pp. 737-759(23)
This paper revisits the relationship between energy prices and the Canadian dollar, using an equation first developed by Amano and van Norden (1995). They found evidence of a negative relationship between these two variables, such that higher real energy prices led to a depreciation of the Canadian dollar. Based on structural break tests, we find a break point in the sign of this relationship, which changes from negative to positive in the early 1990s. The timing of the break is consistent with major changes in Canada's energy policies and in energy-related cross-border trade and investment.
Document Type: Research Article
Affiliations: Bank of Canada
Publication date: August 1, 2008