Feunou, Bruno; Fontaine, Jean-Sébastien; Krohn, Ingomar - 2022
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. …