On the driving forces of real exchange rates: Is the Japanese Yen different?
基于现值关系分解19种货币的实际汇率方差，发现短期由汇率可预测性驱动，长期由回报可预测性主导；日元长期可预测性模式与其他货币显著不同且随时间不稳定。
We estimate variance decompositions of the real exchange rate ( q ) for 19 currencies based on a present-value relation. At very short horizons, the driving force of q is predictability of the future exchange rate. At long horizons, return predictability drives most variation in q , with predictability of interest differentials playing a secondary role. This pattern is especially strong for the Non-G10 currencies. However, the long-run predictability mix associated with the Japanese Yen clearly deviates from the other currencies and is unstable over time. The quantitative simulation of a liquidity-based exchange rate model largely replicates our main empirical findings. • Variance decompositions analyze real exchange rate drivers via present-value relation • At very short horizon, the driving force is predictability of future exchange rate • In the long term, return predictability outweighs that of interest rate differential • Long-term predictability of JPY differs from other currencies and varies over time