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Exchange Rate Movements and Fundamentals: Impact of Oil Prices and China's Growth
| Content Provider | Semantic Scholar |
|---|---|
| Author | Cao, Shuo Chen, Hongyi |
| Copyright Year | 2017 |
| Abstract | This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange rates, revealing that impact of global oil prices and Chinai¯s growth has increased significantly since 2008. In particular, shocks to these two fundamentals drive the movements of both commodity and non-commodity currencies recently. The impact of monetary policy shocks on the currency pairs is comparatively small. |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.2925043 |
| Alternate Webpage(s) | http://www.hkimr.org/uploads/publication/458/wp201704_summary.pdf |
| Alternate Webpage(s) | http://www.hkimr.org/uploads/publication/458/wp201704.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.2925043 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
