In Search of Dominant Drivers of the Real Exchange Rate

• 成果类型: Article
• 署名作者: Miyamoto, Wataru; Nguyen, Thuy Lan; Oh, Hyunseung
• 署名单位: University of Hong Kong; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Santa Clara University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01342
• 发表日期: 2025-07
• 页码: 1059-1073
• 关键词: models

摘要

We uncover the major drivers of macro aggregates and the real exchange rate at business cycle frequencies in Group of Seven countries. The estimated drivers of key macro variables resemble each other and account for a modest fraction of the real exchange rate variances. Dominant drivers of the real exchange rate are orthogonal to the main drivers of business cycles, generate a significant deviation of the uncovered interest parity condition, and lead to small movements in net exports. We use these facts to evaluate international business cycle models accounting for the dynamics of both macro aggregates and the real exchange rate.