Exchange Rates as Exchange Rate Common Factors

Factor analysis performed on a panel of 23 nominal exchange rates from January 1999 to December 2010 yields three common factors. This paper identifies the euro/dollar, Swiss-franc/dollar and yen/dollar exchange rates as empirical counterparts to these common factors. These empirical factors explain a large proportion of exchange rate variation over time and have significant in-sample and out-of-sample predictive power.

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Year of publication:	2012-08
Authors:	Greenaway-McGrevy, Ryan ; Mark, Nelson C. ; Sul, Donggyu ; Wu, Jyh-Lin
Institutions:	Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong
Subject:	Exchange Rates \| Common Factors \| Forecasting

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 212012 29 pages
Classification:	F31 - Foreign Exchange ; F37 - International Finance Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010617719