An Empirical Research Of Currency Cyclicality And Its Influencing Factors

Just like the universality of cyclical flow of international capital to many economies around the world,the exchange rates of their currencies also have cyclical behavior with their economy,which we call as ”Currency Cyclicality”.Based on 1998-2011 time series data,this paper calculates “Currency Cyclicality Index,CCI” for 88 economies,and further discusses their distribution characters.Besides,this paper tries to reveal the influences of five potential factors,that is “cyclical flow of international capital”,”net exports of commodities and services” &”cyclicality of net exports of commodities and services ”,“capital account openness ” and “real exchange rate arrangement”,to the CCI by a series of empirical researches based on the cross section data of 88 economies.The empirical outcomes tell us that: based on the whole sample,the cyclical flow of international capital and the real exchange rate arrangement have a significant positive contribution to the CCI,while the net exports of commodities and services and the cyclicality of net exports of commodities and services negative,and there is no significant direct or indirect contributions of the capital account openness to the CCI;based on the sample of the developed economies,the capital account openness has a significant negative contribution to the CCI,and the real exchange rate arrangement has a significant positive contribution to the significance of the CCI while whether it’s procyclicality or not is not certain.;based on the sample of the developing economies,the capital account openness has a significant positive contribution to the significance of the CCI while whether it’s procyclicality or not is not certain.