Time Series Analysis of USD/CAD Exchange Rate

Abstract

The exchange rate of Canadian dollars was closely bound up with the US dollars for the past decades.  The last time that the Canadian dollar was worth more than the US dollar was in July 2011. It then experienced its fastest decline in modern-day history as commodity prices rapidly deteriorated. We use time series analysis to study the variation of CAD/USD exchange rate since 2010. We fit an ARIMA model and analyze how different economic and social policies in both countries affect the exchange rate.

Faculty Mentor: Dr. Cristina Anton