The Behaviour of the Canadian Foreign Exchange Market: A Preliminary Time Series Analysis




Dobell, Rod
Officer, Lawrence H.

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From the INTRODUCTION: The Canadian foreign exchange market has often been studies a s a part of various "complete" econometric models of the Canadian economy.(1) So far as we know, however, there has not been extensive study of the behaviour of the time series of price and quantity data generated in the foreign exchange market by trading among the large Canadian banks (the chartered banks, the Montreal City and District Savings Bank, and the Bank of Canada). In contrast to estimation of macro-economic models, such a study can exploit the advantage of very long and precise time series, and may therefore make effective use of tools of time series analysis which are usually difficult to apply to economic data. (2)


The authors are Assistant Professors of Economics at Harvard University. Mr. Officer is also research consultant at the Bank of Canada. The authors are grateful to the Bank of Canada for the use of data and facilities, to the Harvard University Committee for International Studies for research support from the Ford Foundation International Studies Grant, and to Mr. Phillipe Crabbé for research assistance. The views expressed in this study are those of the authors.


foreign exchange market, econometric model