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...

This paper estimates a 3-country DSGE model to identify the drivers of exchange rate volatility in small open economies (SOE). The model features common shocks that affect economies symmetrically. Using data from Jamaica, the US and the G-7 region, the paper finds that external financial shocks...