This paper estimates a 3-country DSGE model to identify the drivers of exchange rate volatility in small open economies (SOE). In addition to the usual cross-country linkages through trade and asset holdings, the model features common shocks that affect economies symmetrically. Using data from Jamaica, the US and the G-7 region (excluding the US), the paper finds that external financial shocks are the primary drivers of exchange rate fluctuations in the SOE. While domestic financial shocks are bigger contributors than US and G-7 specific shocks, shocks that are common across the US and the G-7 generally play the main role. Nonfinancial shocks, domestic and external, are inconsequential for exchange rate volatility. Inferences from a vector autoregressive model with exogenous variables are consistent with these results.

本文估计了一个 3 国 DSGE 模型，以确定小型开放经济体(SOE)汇率波动的驱动因素。除了通过贸易和资产持有产生的通常的跨国联系之外，该模型还具有对称影响经济体的共同冲击。本文利用牙买加、美国和七国集团（不含美国）地区的数据发现，外部金融冲击是国有企业汇率波动的主要驱动因素。虽然国内金融冲击比美国和七国集团特定冲击的影响更大，但美国和七国集团常见的冲击通常起着主要作用。国内和外部的非金融冲击对汇率波动影响不大。具有外生变量的向量自回归模型的推论与这些结果一致。