美联储-实际汇率和净贸易动态：金融和贸易冲击（英）

Board of Governors of the Federal Reserve SystemInternational Finance Discussion PapersISSN 1073-2500 (Print)ISSN 2767-4509 (Online)Number 1419August 2025Real Exchange Rate and Net Trade Dynamics: Financial and Trade ShocksMarcos Mac Mullen, and Soo Kyung WooPlease cite this paper as:Mac Mullen,Marcos,and Soo Kyung Woo (2025).“Real Exchange Rate andNet Trade Dynamics:Financial and Trade Shocks,”International Finance Discus-sion Papers 1419.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/IFDP.2025.1419.NOTE: International Finance Discussion Papers (IFDPs) are preliminary materials circulated to stimu-late discussion and critical comment. The analysis and conclusions set forth are those of the authors anddo not indicate concurrence by other members of the research staff or the Board of Governors. Referencesin publications to the International Finance Discussion Papers Series (other than acknowledgement) shouldbe cleared with the author(s) to protect the tentative character of these papers. Recent IFDPs are availableon the Web at www.federalreserve.gov/pubs/ifdp/. This paper can be downloaded without charge from theSocial Science Research Network electronic library at www.ssrn.com.Real Exchange Rate and Net Trade Dynamics:Financial and Trade Shocks∗Marcos Mac Mullen†Soo Kyung Woo‡This Draft: July 2025Click here for the most recent versionAbstractThis paper studies the drivers of the US real exchange rate (RER), with a particularfocus on its comovement with net trade (NT) flows. We consider the entire spectrumof frequencies, as the low-frequency variation accounts for 62 and 64 percent of theunconditional variance of the RER and NT, respectively. We develop a generalizationof the standard international business cycle model that successfully rationalizes thejoint dynamics of the RER and NT while accounting for the major puzzles of theRER. We find that, while financial shocks are necessary to capture high frequencyvariation in the RER, trade shocks are essential for the lower frequency fluctuations.JEL Classifications: E30, E44, F30, F41, F44Keywords: International Business Cycles, Exchange Rates, Trade Balance, Trade Dynamics∗First draft: April 2022. We are greatly indebted to George Alessandria for his guidance and support throughoutthis project. We would also like to thank Mark Aguiar, Yan Bai, Mark Bils, Gaston Chaumont, Mario Crucini, MickDevereux, Fabrizio Perri, Rafael Guntin, Oleg Itskhoki, Narayana Kocherlakota, Roman Merga, Dmitry Mukhin,Thuy Lan Nguyen, Juan Pablo Nicolini, Kim Ruhl, Katheryn Russ, Mike Sposi, Joseph Steinberg, Walter Steingressand Jón Steinsson for numerous comments and suggestions. Moreover, we would like to thank Felipe Saffie andKwangyong Park for insightful discussions. Finally, we thank seminar participants at NBER IFM Summer Institute2023, SED 2023, SEA 2023, Midwest Econometrics Fall 2023, the RIDGE International Macro Summer Forum 2023,Korea University, Bank of Korea, Santa Clara