Data and Code for: Shocks and Exchange Rates in Small Open Economies

We separately identify domestic and external sources of exchange rate fluctuations in a large sample of small open economies. We find that external shocks lead to large and predictable deviations from UIP, while domestic shocks do not. In addition, external shocks are linked to fluctuations in global risk aversion and U.S. macroeconomic aggregates. We present a small open economy model that rationalizes these facts. In the model, global risk aversion shocks drive exchange rate fluctuations, and a country's net external position governs their transmission. We provide evidence that a country's response to external shocks indeed depends on its external position.

本研究在大型小型开放经济体样本中，分别甄别汇率波动的国内与外部驱动来源。研究发现，外部冲击会引发与无抛补利率平价（Uncovered Interest Parity, UIP）显著且可预测的偏离，而国内冲击则不会产生此类偏离。此外，外部冲击与全球风险规避情绪的波动及美国宏观经济总量指标的变动紧密关联。本研究构建了一个小型开放经济体模型，可为上述经验事实提供理论自洽的解释：在该模型中，全球风险规避冲击是汇率波动的核心驱动因素，一国的净外部头寸决定了此类冲击的传导路径。本研究同时提供经验证据，证实一国对外来冲击的响应确实取决于其自身的外部头寸状况。