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来源类型Working Paper
规范类型报告
DOI10.3386/w18382
来源IDWorking 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
URLhttps://www.nber.org/papers/w18382
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/576059
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Charles Engel,Nelson C. Mark,Kenneth D. West. Factor Model Forecasts of Exchange Rates. 2012.
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