Third-country effects on the exchange rate

• 成果类型: Article
• 署名作者: Berg, Kimberly A.; Mark, Nelson C.
• 署名单位: Bank of Canada; University of Notre Dame; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.03.003
• 发表日期: 2015
• 页码: 227-243
• 关键词: Exchange rates; Disconnect puzzle; Multi-country model

摘要

Predictive regressions for bilateral exchange rates are typically run on variables from the associated bilateral pairs of countries. These regressions characteristically have low explanatory power, which leaves room for an omitted variables interpretation. We test whether these omitted variables are from third-countries. When third-country macro factors are added to bilateral exchange rate regressions, they enter significantly and increase the adjusted R-2. A three-country exchange rate model illustrates potential channels for third-country spillovers to affect the bilateral rate. (C) 2015 Elsevier B.V. All rights reserved.