| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13464
|
| 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
|
| URL | https://cepr.org/publications/dp13464
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542279
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推荐引用方式
GB/T 7714 |
Arash Aloosh,Geert Bekaert. DP13464 Currency Factors. 2019.
|
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