00000nam 2200000zi 4500 9.909478 CaOODSP 20221107181918 m o d f cr |n||||||||| 220325t20222022oncd ob f|0| 0 eng d CaOODSP eng rda CaOODSP n-cn--- FB3-6/2022-6E-PDF Feunou, Bruno, author. Real exchange rate decompositions / by Bruno Feunou, Jean-Sébastien Fontaine and Ingomar Krohn. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2022. ©2022 1 online resource (ii, 45 pages) : charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff discussion paper = Document d'analyse du personnel, 1914-0568 ; 2022-6 "Last updated: March 22, 2022." Includes bibliographical references (page 45). "We provide a novel daily decomposition of the real exchange rate that exploits a direct link between bond and foreign exchange (FX) markets. Real exchange rate dynamics can be attributed to changes in the expected future level of the exchange rate; cross-country differentials of expected inflation, yields and bond term premia; and an FX risk premium. Through a variance decomposition exercise, we find that the FX risk premium is the dominant component. Monetary policies and macroeconomic news announcements largely move the real exchange through changes in the FX risk premium"--Abstract. Foreign exchange rates. Monetary policy. Taux de change. Politique monétaire. Bank of Canada, issuing body. Staff discussion paper (Bank of Canada) 1914-0568 ; 2022-6. (CaOODSP)9.806273 PDF 1.86 MB https://publications.gc.ca/collections/collection_2022/banque-bank-canada/FB3-6-2022-6-eng.pdf