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dc.contributor.authorCayen, Jean-Philippeen
dc.contributor.authorColetti, Donalden
dc.contributor.authorLalonde, Renéen
dc.contributor.authorMaier, Philippen
dc.date.accessioned2011-12-15T12:58:29Z-
dc.date.available2011-12-15T12:58:29Z-
dc.date.issued2010-
dc.identifier.pidoi:10.34989/swp-2010-5en
dc.identifier.urihttp://hdl.handle.net/10419/53939-
dc.description.abstractWe 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.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2010-5en
dc.subject.jelJ31en
dc.subject.ddc330en
dc.subject.keywordExchange ratesen
dc.subject.keywordEconometric and statistical methodsen
dc.subject.stwWechselkursen
dc.subject.stwÖffentliche Schuldenen
dc.subject.stwVolkswirtschaften
dc.subject.stwUS-Dollaren
dc.subject.stwAustralienen
dc.subject.stwKanadaen
dc.subject.stwNeuseelanden
dc.subject.stwGroßbritannienen
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen
dc.subject.stwJapanen
dc.titleWhat drives exchange rates? New evidence from a panel of US dollar bilateral exchange rates-
dc.typeWorking Paperen
dc.identifier.ppn618958835en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:10-5en

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