The dollar climbed to a seven-year high against the yen this week and a two-month peak versus the euro. But that's not cause for celebration, says Mohamed El-Erian, chief economic adviser to Allianz.

The move has brought volatility to currency markets and hurts U.S. multinational companies by raising the price of their exports in foreign-currency terms and lessening the value of their overseas revenue when repatriated to dollars.

"This [dollar strength] is a key issue, and I don't think this is an issue that the markets or the policymakers have understood enough as yet," El-Erian told CNBC.

"We have gone from a world where there was relative harmony in what central banks were doing to a world where there is diverging direction and for good reasons: the economies are doing different things."

While the Federal Reserve has begun to shrink its monetary stimulus, the Bank of Japan and European Central Bank are intensifying theirs.

"Neither Europe nor Japan are yet to find a new growth model and the temptation when you cannot find a new growth model is to an old one that is less effective. The U.S. has that issue too, but the U.S. is lucky because the private sector is much more entrepreneurial," he noted.

If adjustment doesn't come in policy, it will come through the currency market, El-Erian said.

"This poses a threat to volatility and market soundness as a whole and the sorts of excessive movements that may result in currencies becoming a risk themselves to economic recovery."

Many experts see the divergence trend continuing to boost the dollar.

"The U.S. is accelerating while the rest of the world, particularly Japan and the eurozone, is decelerating," Mark McCormick, a currency strategist at Credit Agricole, told Bloomberg.

"Macro investors really are hoping for this divergence story to play out, because that’s where relative value can be generated."

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