The Analysis Of G-3Exchange Rate Fluctuation Characteristics And Driving Factors

As one of the main macroeconomic variables, exchange rate is an important link to maintain the steady development of the global economy. The fluctuations of exchange rate have a profound impact to the allocation of resources in the microeconomic level of a country and the macroeconomic operation. After the collapse of the bretton woods system,the floating rate regime became the main exchange rate regime in the world. Then the volatility of exchange rate is larger, showing obvious nonlinear characteristics. The exchange rate will be affected by various uncertain factors, resulting in unpredictable changes. It is this change that makes the exchange rate, as a country’s economic endogenous variable, have a great effect on monetary economy and real economy. Because of the economic globalization, exchange rate volatility of the world’s major developed countries has a huge linkage effect. The changes of exchange rate not only affect a country’s economy, but also impact the import and export trade, interest rates, inflation of related countries and other macro variables, even affect the implementation of an economic policy. The United States, the European Union and Japan are major trading nations, G-3exchange rate fluctuations will have a big impact on the global economic environment, so researches on the volatility characteristics and driving factors of G-3exchange rate are typical and have a more far-reaching significance.Based on the Mundell-Fleming model, the assumption that price is completely elastic and absolute purchasing power parity(PPP) holds, we modify sticky price model brought out by Donne Bush, choose macroeconomic data in United States,Japanese,the European Union from2000to2012as our research object. We construct state space model for empirical analysis, using kalman filtering algorithm to analyze the changes of national income, money supply and interest rate impacting on the G-3exchange rate volatility, Then we analyze and compare exchange rate fluctuation in three countries through SVAR empirical methodsOn the basis of empirical analysis, we find the exchange rate fluctuation in G-3is closely related with monetary supply, national income and bond interest rate; In the sample interval the interest rate changes of G-3countries to the exchange rate fluctuation are inelastic, but in most years the elasticity of money supply is larger; compared with Japanese and Euro area, American exchange rate fluctuation is relatively low, Japanese exchange rate fluctuation is influenced by dual impact of supply and demand shock, demand shock is the primary factor of Euro exchange rate fluctuation.