美联储-寻找实际汇率的主导驱动因素（英）-2023.3-46页_310kb

Real Exchange Rate Drivers in G7 Countries

This paper examines the dominant factors driving the real exchange rate and macroeconomic variables in G7 countries (Canada, France, Germany, Italy, Japan, U.K., U.S.) using the Max Share method. Key findings:

1. Main Business Cycle (MBC) Shocks:

   • MBC shocks (driving relative output, consumption, hours worked, investment) generate similar responses in macro variables but have minimal impact on real exchange rate variances (1.2-6.8% at one-year horizons).
   • These shocks contribute little to the uncovered interest parity (UIP) wedge and are orthogonal to dominant real exchange rate shocks.

2. Dominant Real Exchange Rate Shocks:

   • Discovered through anatomy methods, these shocks exhibit large, persistent real exchange rate movements (peak effects 12+ quarters post-shock).
   • They cause significant deviations from UIP conditions but minimal responses in net exports, consumption, and interest rates.

3. Model Implications:

   • Models with unified shocks (e.g., TFP only) fail to capture the disconnect between business cycles and real exchange rates.
   • Separate financial shocks (e.g., UIP deviations) are necessary but still require additional frictions to align with observed net export responses.

Conclusion: The real exchange rate disconnect persists due to distinct drivers—MBC shocks for macro variables and separate real exchange rate shocks. Future models should incorporate frictions that weaken the link between financial shocks and net exports.