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2015 Fiscal Year Final Research Report

Exchange rate movements and spillovers: evidence from the dynamic hierarchical factor model

Research Project

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Project/Area Number 25380386
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionTohoku University (2015)
University of Tsukuba (2013-2014)

Principal Investigator

Nagayasu Jun  東北大学, 経済学研究科(研究院), 教授 (30375422)

Project Period (FY) 2013-04-01 – 2016-03-31
Keywords外国為替市場 / 実質実効為替レート / ファクターモデル / ベイズ統計
Outline of Final Research Achievements

Using the Bayesian factor model, we decompose movements in real effective exchange rates, which can be considered a measure of external competitiveness, into global and country-specific factors. In data from a number of developed and developing countries, we find a particular global trend in these rates, but a substantial proportion of the variation in these rates is found to be country-specific. In addition, consistent with economic theory, this global factor is closely related to a trend in the global interest rate, while country-specific factors to idiosyncratic movements in countries’ own interest rates.

Free Research Field

国際金融

URL: 

Published: 2017-05-10  

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