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Exchange Rate Movements and Fundamentals: Impact of Oil Prices and the People’s Republic of China’s Growth
| Content Provider | Scilit |
|---|---|
| Author | Chen, Hongyi Cao, Shuo |
| Copyright Year | 2019 |
| Description | Journal: SSRN Electronic Journal We identify five factors that can capture 95% of the variance across 39 United States (US) dollar exchange rates based on the principal component method. We use a time-varying parameter factor-augmented vector autoregressive model to analyze the determinants of movements in these exchange rates, and reveal that their impact on global oil prices and the People’s Republic of China’s growth has increased significantly since 2008. In particular, the variance of US dollar exchange rates has mainly been driven by these two shocks in recent years. The impact of monetary policy shocks on the currency pairs is comparatively small. |
| Related Links | https://www.adb.org/sites/default/files/publication/493736/adbi-wp938.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3470031 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3470031 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2019-03-27 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Mathematical Social Sciences People's Republic of China's Growth |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |