Origins of international factor structures
成果类型：
Article
署名作者：
Jiang, Zhengyang; Richmond, Robert J.
署名单位：
Northwestern University; National Bureau of Economic Research; New York University
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2022.09.010
发表日期：
2023
页码：
1-26
关键词：
摘要：
We show that exchange rate correlations tend to be explained by the global trade net-work while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate correlations beyond bilateral linkages. We explain these findings using a model of the global trade net-work with market segmentation. Interdependent global production generates international comovements, while market segmentation disconnects the drivers of exchange rate correlations from the drivers of consumption correlations. Moreover, we show that the trade network generates common factors found in exchange rates. Our findings offer a trade -based account of the origins of international comovements and shed light on important frictions in international markets. (C) 2022 Elsevier B.V. All rights reserved.