Explaining the Great Moderation Exchange Rate Volatility Puzzle

IF 3.3 2区经济学 Q1 BUSINESS, FINANCE Imf Economic Review Pub Date : 2024-09-18 DOI:10.1057/s41308-024-00264-9

Vania Stavrakeva, Jenny Tang

引用次数: 0

Abstract

We study how macroeconomic volatility relates to trends in exchange rate volatility through the prism of the Great Moderation hypothesis. We find significant heterogeneity in exchange rate volatility trends across advanced economy currencies against the USD. Financial centers currencies became less volatile over a 50-year history, while commodity currencies became more volatile. This occurred despite decreases in the volatility of macroeconomic variables, particularly expected interest rate differentials. Instead, trends in the volatility of non-macro (currency risk premium) exchange rate components were a main driver of patterns in exchange rate volatility. However, the behavior of macroeconomic variables still mattered greatly for explaining the rise in commodity currency volatility. We document that a meaningful part of this increasing volatility can be tied to less negative co-movements over time between changes in expectations of relative interest rates and changes in expectations of excess returns – a pattern that is consistent with a weakening or even disappearance of the Fama puzzle for commodity currencies.

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解释 "大缓和 "汇率波动之谜

我们通过大缓和假说的棱镜研究宏观经济波动与汇率波动趋势之间的关系。我们发现，发达经济体货币对美元的汇率波动趋势存在明显的异质性。在 50 年的历史中，金融中心货币的波动性变小，而商品货币的波动性变大。尽管宏观经济变量（尤其是预期利率差）的波动性有所下降，但这种情况还是出现了。相反，非宏观（货币风险溢价）汇率组成部分的波动趋势是汇率波动模式的主要驱动力。然而，宏观经济变量的行为对于解释商品货币波动性的上升仍然非常重要。根据我们的记录，这种波动性上升的一个重要原因是，随着时间的推移，相对利率预期的变化与超额收益预期的变化之间的负向共同运动减少了--这种模式与商品货币的法马之谜减弱甚至消失是一致的。

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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