Does US Monetary Policy Have Cross‐Border Spillover Effect on Canadian Money Demand?

This study focuses on investigating whether US monetary policy uncertainty (MPU) has a cross‐border spillover effect on monetary demand in Canada. We assess long‐term dynamic changes and potential asymmetric effects, using quarterly data from 1996 to 2025 with an ARDL and a nonlinear ARDL approach. The results of linear ARDL showed that for every 10 per cent increase in US monetary policy uncertainty, Canadian real money demand would increase by approximately 0.43 per cent. This indicates that the spillover effects through trade, finance and exchange rate channels are relatively mild but detectable.