Co-movements in Real Effective Exchange Rates : Evidence From the Dynamic Hierarchical Factor Model

Nagayasu, Jun (2013) Co-movements in Real Effective Exchange Rates : Evidence From the Dynamic Hierarchical Factor Model. Discussion paper. University of Strathclyde, Glasgow.

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Abstract

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, 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-specific 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-specific; even in Europe country-specific movements exceed worldwide and regional common factors.

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• Item metadata

  Item type:	Monograph(Discussion paper)
  ID code:	68093
  Dates:	Date Event 30 August 2013 Published
  Notes:	Published as a paper within the Discussion Papers in Economics, No. 13-18 (2013)
  Subjects:	Social Sciences > Economic Theory
  Department:	Strathclyde Business School > Economics
  Depositing user:	Pure Administrator
  Date deposited:	29 May 2019 10:21
  Last modified:	02 Dec 2024 01:09
  Related URLs:	Publisher
  URI:	https://strathprints.strath.ac.uk/id/eprint/68093