Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/222705 
Autor:innen: 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
ADBI Working Paper Series No. 938
Verlag: 
Asian Development Bank Institute (ADBI), Tokyo
Zusammenfassung: 
This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange rates, revealing that their impact on global oil prices and the People's Republic of China's growth has increased significantly since 2008. In particular, the variance of US dollar exchange rates has mainly been driven by these two shocks in recent years. The impact of monetary policy shocks on the currency pairs is comparatively small.
Schlagwörter: 
exchange rates
commodity prices
People's Republic of China's growth
monetary policy
factor model
TVP-FAVAR
Bayesian methods
JEL: 
C11
C22
F31
G12
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper

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