@article{Interest-Rate:4259,
      recid = {4259},
      author = {Freedman, Charles and Longworth, David and Masson, Paul},
      title = {The Role of U.S. Interest Rates in Canadian Interest-Rate  Equations: An Exploratory Analysis},
      publisher = {Bank of Canada},
      address = {1977},
      pages = {1 online resource (ii, 70 pages)},
      abstract = {In this study the authors examine in detail the relative  importance of U.S. and Canadian interest rates in the  determination of three Canadian short-term interest rates:  the term-deposit rate, the rate on finance company paper  and the prime loan rate. The main technique used is  regression analysis on weekly interest-rate data for the  period 1963-75. Monthly and quarterly equations are also  presented for comparison. A second approach employs  principalcomponents analysis to isolate the independent  variation of Canadian interest rates that is not explained  by movements of U.S. rates. Throughout the study, careful  attention is paid to structural changes over the period  that have affected the behaviour of Canadian interest  rates. In the course of the analysis the authors also  examine the determination of the forward premium of the  Canadian dollar. The general conclusion is that U.S.  interest rates are more important in the determination of  the interest rate on Canadian finance company paper than in  the determination of the Canadian term-deposit rate, a  result that is consistent with the fact that foreigners  hold a substantially larger share of Canadian finance paper  than of Canadian term deposits.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/4259},
      doi = {https://doi.org/10.34989/tr-9},
}