期刊名称：Discussion Papers / Business School, University of Strathclyde
出版年度：2013
卷号：2013
出版社：University of Strathclyde
摘要：We analyze and quantify co-movements in real e ective exchange rates while considering the regional location of countries. More speci cally, using the dynamic hierarchical factor model (Moench et al. (2011)), we decompose exchange rate movements into several latent components; worldwide and two regional factors as well as country-speci c elements. Then, we provide evidence that the worldwide common factor is closely related to monetary policies in large advanced countries while regional common factors tend to be captured by those in the rest of the countries in a region. However, a substantial proportion of the variation in the real exchange rates is reported to be country-speci c; even in Europe country-speci c movements exceed worldwide and regional common factors.
关键词：Real e ective exchange rates; dynamic hierarchical factor model; variance decomposition;Bayesian model averaging
