We show that exchange rate correlations tend to be explained by the global trade network while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate correlations beyond bilateral linkages. We explain these findings using a model of the global trade network with market segmentation. Interdependent global production generates international comovements, while market segmentation disconnects the drivers of exchange rate correlations from the drivers of consumption correlations. Moreover, we show that the trade network generates common factors found in exchange rates. Our findings offer a trade-based account of the origins of international comovements and shed light on important frictions in international markets.

我们表明，汇率相关性往往由全球贸易网络来解释，而消费相关性往往由生产力相关性来解释。与其他国家共享共同的贸易联系增加了双边联系之外的汇率相关性。我们使用具有市场细分的全球贸易网络模型来解释这些发现。相互依存的全球生产产生国际联动，而市场分割将汇率相关性的驱动因素与消费相关性的驱动因素脱节。此外，我们表明贸易网络产生了汇率中的共同因素。我们的研究结果为国际联动的起源提供了基于贸易的解释，并阐明了国际市场上的重要摩擦。