G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13464
DP13464 Currency Factors
Arash Aloosh; Geert Bekaert
发表日期2019-01-17
出版年2019
语种英语
摘要We examine the ability of existing and new factor models to explain the comovements of G10- currency changes, measured using the novel concept of “currency baskets”, representing the overall movement of a particular currency. Using a clustering technique, we find a clear two-block structure in currency comovements with the first block containing mostly the dollar currencies, and the other the European currencies. A factor model incorporating this “clustering” factor and two additional factors, a commodity currency factor and a “world” factor based on trading volumes, fits currency basket correlations much better than extant factors, such as value and carry, do. In particular, it explains on average about 60% of currency variation and generates a root mean squared error relative to sample correlations of only 0.11. The model also fits comovements in emerging market currencies well. Economically, the correlations between currency baskets underlying the factor structure are inversely related to the physical distances between countries. The factor structure is also related to the exposure of the corresponding pricing kernels with respect to the global pricing kernel and is apparent in cross-country retail sales growth data.
主题International Macroeconomics and Finance
关键词Currency factors Currency comovements Clustering Factor models Currency baskets Global pricing kernels
URLhttps://cepr.org/publications/dp13464
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/542279
推荐引用方式
GB/T 7714
Arash Aloosh,Geert Bekaert. DP13464 Currency Factors. 2019.
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