Global and country-specific movements in real effective exchange rates: Implications for external competitiveness

研究成果: Article査読

抄録

Using the Bayesian factor model, we decompose real effective exchange rates, which are considered a measure of external competitiveness, into global and country-specific factors. Among several findings, we report a particular global trend in real exchange rates, but a substantial proportion of their variation is found to be country-specific. In line with this finding, we find that structural shifts, when they do exist, are contained in country-specific factors. Furthermore, consistent with economic theory, this global factor is closely related to a trend in the global interest rate, while country-specific factors are closely related to idiosyncratic movements in the countries’ own interest rates. Such a decomposition results in better understanding of the exchange rate-interest rate relationship, and therefore our results can be interpreted as evidence that external competitiveness is heterogeneous among countries and that economic policies can influence countries’ competitiveness.

本文言語English
ページ(範囲)88-105
ページ数18
ジャーナルJournal of International Money and Finance
76
DOI
出版ステータスPublished - 2017 9

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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