| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23773 |
| 来源ID | Working Paper 23773 |
| Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates | |
| Hanno Lustig; Robert J. Richmond | |
| 发表日期 | 2017-09-11 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We relate the risk characteristics of currencies to measures of physical, cultural, and institutional distance. The currencies of countries which are more distant from other countries are more exposed to systematic currency risk. This is due to a gravity effect in the factor structure of bilateral exchange rates: When a currency appreciates against a basket of all other currencies, its bilateral exchange rate appreciates more against the currencies of distant countries. As a result, currencies of peripheral countries are more exposed to the systematic variation than currencies of central countries. Trade network centrality is the best predictor of a currency’s average exposure to systematic risk. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w23773 |
| 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/581447 |
| 推荐引用方式 GB/T 7714 | Hanno Lustig,Robert J. Richmond. Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates. 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 | ||
| w23773.pdf（1003KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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