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来源类型Working Paper
规范类型报告
DOI10.3386/w23726
来源IDWorking Paper 23726
Identifying Exchange Rate Common Factors
Ryan Greenaway-McGrevy; Donggyu Sul; Nelson Mark; Jyh-Lin Wu
发表日期2017-08-28
出版年2017
语种英语
摘要Using recently developed model selection procedures, we determine that exchange rate returns are driven by a two-factor model. We identify them as a dollar factor and a euro factor. Exchange rates are thus driven by global, US, and Euro-zone stochastic discount factors. The identified factors can also be given a risk-based interpretation. Identification motivates multilateral models for bilateral exchange rates. Out-of-sample forecast accuracy of empirically identified multilateral models dominate the random walk and a bilateral purchasing power parity fundamentals prediction model. 24-month ahead forecast accuracy of the multilateral model dominates those of a principal components forecasting model.
主题International Economics ; International Finance
URLhttps://www.nber.org/papers/w23726
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/581399
推荐引用方式
GB/T 7714
Ryan Greenaway-McGrevy,Donggyu Sul,Nelson Mark,et al. Identifying Exchange Rate Common Factors. 2017.
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