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https://hdl.handle.net/10419/53939
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
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dc.contributor.author | Cayen, Jean-Philippe | en |
dc.contributor.author | Coletti, Donald | en |
dc.contributor.author | Lalonde, René | en |
dc.contributor.author | Maier, Philipp | en |
dc.date.accessioned | 2011-12-15T12:58:29Z | - |
dc.date.available | 2011-12-15T12:58:29Z | - |
dc.date.issued | 2010 | - |
dc.identifier.pi | doi:10.34989/swp-2010-5 | en |
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 |
dc.language.iso | eng | en |
dc.publisher | |aBank of Canada |cOttawa | en |
dc.relation.ispartofseries | |aBank of Canada Working Paper |x2010-5 | en |
dc.subject.jel | J31 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Exchange rates | en |
dc.subject.keyword | Econometric and statistical methods | en |
dc.subject.stw | Wechselkurs | en |
dc.subject.stw | Öffentliche Schulden | en |
dc.subject.stw | Volkswirtschaft | en |
dc.subject.stw | US-Dollar | en |
dc.subject.stw | Australien | en |
dc.subject.stw | Kanada | en |
dc.subject.stw | Neuseeland | en |
dc.subject.stw | Großbritannien | en |
dc.subject.stw | Europäische Wirtschafts- und Währungsunion | en |
dc.subject.stw | Japan | en |
dc.title | What drives exchange rates? New evidence from a panel of US dollar bilateral exchange rates | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 618958835 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:bca:bocawp:10-5 | en |
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