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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/53939
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Cayen, Jean-Philippe | | en_US |
| dc.contributor.author | | Coletti, Donald | | en_US |
| dc.contributor.author | | Lalonde, René | | en_US |
| dc.contributor.author | | Maier, Philipp | | en_US |
| dc.date.accessioned | | 2011-12-15T12:58:29Z | | - |
| dc.date.available | | 2011-12-15T12:58:29Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/53939 | | - |
| dc.description.abstract | | We use a novel approach to identify economic developments that drive exchange rates in the long run. Using a panel of six quarterly U.S. bilateral real exchange rates Australia, Canada, the euro, Japan, New Zealand and the United Kingdom over the 1980-2007 period, a dynamic factor model points to two common factors. The first factor is driven by U.S. shocks, and cointegration analysis points to a long-run statistical relationship with the U.S. debt-to-GDP ratio, relative to all other countries in our sample. The second common factor is driven by commodity prices. Incorporating these relationships directly into a state-space model, we find highly significant coefficients. Then, we decompose the historical variation of each exchange rate into U.S. shocks, commodities, and a domestic component. We find a strong role for economic fundamentals: Changes in the two common factors, which are driven by the (relative) U.S. debt-to-GDP ratio and commodity prices, can explain between 36 and 96 per cent of individual countries' exchange rates in our panel. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Bank of Canada Ottawa | | en_US |
| dc.relation.ispartofseries | | Bank of Canada Working Paper 2010,5 | | en_US |
| dc.subject.jel | | J31 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Exchange rates | | en_US |
| dc.subject.keyword | | Econometric and statistical methods | | en_US |
| dc.subject.stw | | Wechselkurs | | en_US |
| dc.subject.stw | | Öffentliche Schulden | | en_US |
| dc.subject.stw | | Volkswirtschaft | | en_US |
| dc.subject.stw | | US-Dollar | | en_US |
| dc.subject.stw | | Australien | | en_US |
| dc.subject.stw | | Kanada | | en_US |
| dc.subject.stw | | Neuseeland | | en_US |
| dc.subject.stw | | Großbritannien | | en_US |
| dc.subject.stw | | Europäische Wirtschafts- und Währungsunion | | en_US |
| dc.subject.stw | | Japan | | en_US |
| dc.title | | What drives exchange rates? New evidence from a panel of US dollar bilateral exchange rates | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 618958835 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Bank of Canada Working Papers
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