What Drives the Exchange Rate?

IF 3.3 2区经济学 Q1 BUSINESS, FINANCE Imf Economic Review Pub Date : 2024-06-25 DOI:10.1057/s41308-024-00251-0

Oleg Itskhoki, Dmitry Mukhin

引用次数: 0

Abstract

We use a general open-economy wedge-accounting framework to characterize the set of shocks that can account for major exchange rate puzzles. Focusing on a near-autarky behavior of the economy, we show analytically that all standard macro economic shocks—including productivity, monetary, government spending, and markup shocks—are inconsistent with the broad properties of the macro exchange rate disconnect. News shocks about future macro economic fundamentals can generate plausible exchange rate properties. However, they show up prominently in contemporaneous asset prices, which violates the finance exchange rate disconnect. International shocks to trade costs, terms of trade and import demand, while potentially consistent with disconnect, do not robustly generate the empirical Backus–Smith, UIP and terms-of-trade properties. In contrast, the observed exchange rate behavior is consistent with risk-sharing (financial) shocks that arise from shifts in demand of foreign investors for home-currency assets, or vice versa.

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汇率由什么决定？

我们使用一般开放经济楔形核算框架来描述可以解释主要汇率难题的一系列冲击。我们以近乎自发的经济行为为重点，分析表明所有标准的宏观经济冲击--包括生产率、货币、政府支出和标价冲击--都与宏观汇率脱节的广泛特性不一致。有关未来宏观经济基本面的新闻冲击可以产生看似合理的汇率特性。然而，它们在同期资产价格中表现突出，这就违反了金融汇率脱节。贸易成本、贸易条件和进口需求的国际冲击虽然可能与脱节一致，但并不能稳健地产生经验上的 Backus-Smith、UIP 和贸易条件属性。相反，观察到的汇率行为与风险分担（金融）冲击是一致的，这种冲击源于外国投资者对本国货币资产需求的变化，反之亦然。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Imf Economic Review Multiple-

CiteScore

5.50

自引率

4.70%

发文量

期刊介绍： The IMF Economic Review is the official research journal of the International Monetary Fund (IMF). It is dedicated to publishing peer-reviewed, high-quality, context-related academic research on open-economy macroeconomics. It emphasizes rigorous analysis with an empirical orientation that is of interest to a broad audience, including academics and policymakers. Studies that borrow from, and interact with, other fields such as finance, international trade, political economy, labor, economic history or development are also welcome. The views presented in published papers are those of the authors and should not be attributed to, or reported as, reflecting the position of the IMF, its Executive Board, or any other organization mentioned herein. Comments “The IMF Economic Review has been uniquely successful in publishing papers that rigorously analyze real international macroeconomic problems and in a manner that has immediate policy relevance. This success is owed to a great extent to the high quality of the editorial board, which is able to identify papers that are both relevant for policy and are executed using state-of-the-art tools so as to make the analysis compelling.” - Gita Gopinath, Economic Counsellor and Director of Research, IMF “IMF Economic Review is devoted to state-of-the-art research on the global economy. Given the Fund''s unique position on the front lines of surveillance and crisis management, anyone interested in international economic policy or in macroeconomics more generally will find this journal to be essential reading.” - Maurice Obstfeld, Professor of Economics at University of California, Berkeley; and former Economic Counsellor and Director of Research, IMF “There is great need for a rigorous academic publication that addresses the key global macro questions of our times. This is what the IMF Economic Review aims to be.” - Pierre-Olivier Gourinchas, Professor of Economics at University of California, Berkeley; and former Editor of the IMF Economic Review “To navigate the global crisis, and to take the best policy decisions, will require mobilizing and extending the knowledge we have about open economy macro, from the implications of liquidity traps, to the dangers of large fiscal deficits, to macro-financial interactions, to the contours of a better international monetary and financial system. My hope and my expectation is that the IMF Economic Review will be central to the effort.” - Olivier J. Blanchard, Peterson Institute for International Economics; former Economic Counsellor and Director of Research Department, IMF

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