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    Exchange Rate Movements and Fundamentals: Impact of Oil Prices and the People's Republic of China's Growth

    Chen, Hongyi; Cao, Shuo | March 2019
    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 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.
    Citation
    Chen, Hongyi; Cao, Shuo. 2019. Exchange Rate Movements and Fundamentals: Impact of Oil Prices and the People's Republic of China's Growth. © Asian Development Bank Institute. http://hdl.handle.net/11540/9775.
    Keywords
    Macroeconomic
    Macroeconomic Analysis
    Macroeconomic Framework
    Macroeconomic Models
    Macroeconomic Performance
    Macroeconomic Planning
    Macroeconomic Policies
    Macroeconomic Reform
    Macroeconomic Stabilization
    Results-Based Monitoring And Evaluation
    Project Evaluation & Review Technique
    Project Evaluation
    Program Evaluation
    Performance Evaluation
    Operations Evaluation
    Evaluation Methods
    Evaluation
    Social condition
    Economic dependence
    Economic assistance
    International monetary relations
    International monetary relations
    International trade
    National accounting
    Market
    Project impact
    Development projects
    Program management
    Performance appraisal
    Project appraisal
    Technology assessment
    Economic indicators
    Growth models
    Gross domestic product
    Macroeconomics
    Economic forecast
    Exports
    Exports
    Exchange
    Comparative economics
    Index number
    Monetary policy
    Value analysis
    Adjustment cost
    Transaction cost
    Conditionality
    International relations
    Cumulative effects assessment
    Grievance procedures
    Participatory monitoring and evaluation
    Exchange rate
    Economic development projects
    Economic policy
    Economic forecasting
    Exchange rates
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    Citable URI
    http://hdl.handle.net/11540/9775
    Metadata
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    adbi-wp938.pdf (3.929Mb)
    Author
    Chen, Hongyi
    Cao, Shuo
    Theme
    Economics
    Evaluation
     
    Copyright 2016-2020 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2020 Asian Development Bank Institute, except as explicitly marked otherwise