Canadian monetary policy and the US federal funds rate

This article examines the empirical relation between the Canadian overnight rate and the US federal funds rate over the period 1975 to 2005. There is evidence of cointegration in the earlier part of the period from 1975 to 1988, but not in the post-1988 period to date. The inference is that the Bank...

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Bibliographic Details
Published in:Applied economics letters 2008-09, Vol.15 (11), p.899-904
Main Authors: Atesoglu, H. Sonmez, Smithin, John
Format: Article
Language:English
Subjects:
Canada
Central banks
Cointegration analysis
Economic analysis
Federal funding
Federal funds rate
Interest rates
International economic relations
Monetary policy
Studies
Transmission mechanism
U.S.A
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Summary:This article examines the empirical relation between the Canadian overnight rate and the US federal funds rate over the period 1975 to 2005. There is evidence of cointegration in the earlier part of the period from 1975 to 1988, but not in the post-1988 period to date. The inference is that the Bank of Canada has been pursuing monetary policy independently of the USA at least during the 1988 to 2005 period.
ISSN:1350-4851
1466-4291
DOI:10.1080/13504850600905048