CAPM betas are measures of systematic risks, which include things like the exchange rate, inflation, interest rates, etc.
What I'm confused about is described below:
E.g. suppose I'm looking at one company's beta, which has decreased from 0.8 to 0.6 over 1 year, and during that period, the home country's exchange rate decreased which saw an increase in exports and sales revenue for the firm.
How has this exchange rate (amongst other factors) led to the decrease in the beta? Is it because the firm is performing well relative to the market portfolio so is seen as less risky?
Simply: how do factors like exchange rates, inflation and interest rates actually affect the beta? What's the link between them? When I see a change in a variable like exchange rates, how do I link it to the beta?