The contribution of economic fundamentals to movements in exchange rates

• 成果类型: Article
• 署名作者: Balke, Nathan S.; Ma, Jun; Wohar, Mark E.
• 署名单位: Southern Methodist University; Federal Reserve System - USA; Federal Reserve Bank - Dallas; University of Alabama System; University of Alabama Tuscaloosa; University of Nebraska System
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2012.10.003
• 发表日期: 2013
• 页码: 1-16
• 关键词: Bayesian analysis; Exchange rate decomposition; monetary model; State-space model

摘要

Starting from the asset pricing approach of Engel and West, we examine the degree to which fundamentals can explain exchange rate fluctuations. We show that it is not possible to obtain sharp inferences about the relative contribution of fundamentals using only data on observed monetary fundamentals-money minus output differentials across countries-and exchange rates. We use additional data on interest rate and price differentials along with the implications of the monetary model of exchange rates to decompose exchange rate fluctuations. In general, we find that money demand shifts, along with observed monetary fundamentals, are an important contributor to exchange rate fluctuations. (C) 2012 Elsevier B.V. All rights reserved.