The Determinants of the Euro-Dollar Exchange Rate - Synthetic Fundamentals and a Non-Existing Currency
The Determinants of the Euro-Dollar Exchange Rate - Synthetic Fundamentals and a Non-Existing Currency
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欧元兑美元汇率的决定因素 - 综合基本面和不存在的货币
DOI：
10.2139/ssrn.229472
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发表时间：
2000
影响因子：
1.2
通讯作者：
Bernd Schnatz
中科院分区：
文献类型：
--
作者：
Jörg Clostermann;Bernd Schnatz
1999年初，欧元在11个欧洲国家成为共同货币。本文以实证的方式探讨了推动真实的欧元兑美元汇率的中长期因素。构建一个1975年至1998年期间的合成欧元-美元汇率，并应用协整方法，四个因素被确定为真实的欧元-美元汇率的基本决定因素：国际真实的利率差，贸易和非贸易商品部门的相对价格，真实的石油价格和相对财政状况。单方程误差校正模型优于多变量模型，似乎最适合分析和预测欧元-美元汇率的中期走势。如果将这一模式应用于外汇市场目前的发展，欧元的对外价值在1999/2000年冬季似乎相当低。
At the beginning of 1999 the euro was launched as a common currency in 11 European countries. This paper addresses empirically the medium to long-term forces driving the real euro-dollar exchange rate. Constructing a synthetic euro-dollar exchange rate over a period from 1975 to 1998 and applying cointegration approaches, four factors are identified as fundamental determinants of the real euro-dollar exchange rate: the international real interest rate differential, relative prices in the traded and non-traded goods sectors, the real oil price and the relative fiscal position. A single equation error correction model outperforms multivariate models and seems to be best suited to analyse and forecast the behaviour of the euro-dollar exchange rate in the medium-term perspective. If this model is applied to the current developments in foreign exchange markets, the external value of the euro appears to be rather low in the winter of 1999/2000.
影响因子：
6.1
作者：
J. Stock
通讯作者：
J. Stock