| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15337 |
| DP15337 The Global Factor Structure of Exchange Rates | |
| Sofonias Alemu Korsaye; Fabio Trojani; Andrea Vedolin | |
| 发表日期 | 2020-10-05 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in the presence of frictions. We theoretically establish a two-factor representation for the cross-section of international SDFs, consisting of one global and one local factor, which is independent of the currency denomination. We show that our two-factor specification prices a large cross-section of international asset returns, not just in- but also out-of-sample with R2s of up to 80%. |
| 主题 | Financial Economics |
| 关键词 | International asset pricing Stochastic discount factor Factor models Financial frictions Market segmentation Incomplete markets Capital flows Regularization Lasso |
| URL | https://cepr.org/publications/dp15337 |
| 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/544318 |
| 推荐引用方式 GB/T 7714 | Sofonias Alemu Korsaye,Fabio Trojani,Andrea Vedolin. DP15337 The Global Factor Structure of Exchange Rates. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
