| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23726 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w23726 |
| 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/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. |
| 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 | ||
| w23726.pdf（471KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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