| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18382 |
| 来源ID | Working Paper 18382 |
| Factor Model Forecasts of Exchange Rates | |
| Charles Engel; Nelson C. Mark; Kenneth D. West | |
| 发表日期 | 2012-09-13 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate processes. We apply the technique to a panel of bilateral U.S. dollar rates against 17 OECD countries. We forecast using factors, and using factors combined with any of fundamentals suggested by Taylor rule, monetary and purchasing power parity (PPP) models. For long horizon (8 and 12 quarter) forecasts, we tend to improve on the forecast of a "no change" benchmark in the late (1999-2007) but not early (1987-1998) parts of our sample. |
| 主题 | Econometrics ; Estimation Methods ; International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w18382 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576059 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Nelson C. Mark,Kenneth D. West. Factor Model Forecasts of Exchange Rates. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18382.pdf（569KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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