Speaker: Rohan Kekre（Chicago Booth and NBER）

Time: 9:00-10:30 a.m., May 7, 2024, GMT+8

Venue: Online: Zoom：926 3889 7210  Password：908060

Abstract: 

We study the source of exchange rate fluctuations using a general equilibrium model accommodating shocks in goods and financial markets. These shocks differ in their induced comovements between exchange rates, interest rates, and quantities. A calibration matching data from the U.S. and G10 currency countries implies that persistent shocks to relative demand and thus interest rate differentials account for 80% of the volatility in the dollar/G10 exchange rate. Shocks to currency intermediation are important, however, in generating deviations from uncovered interest parity at high frequencies and explaining the dollar appreciation in crises.

Source: National School of Development, PKU