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...

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...

This study analyses the early effects of recent bilateral and regional Preferential Trade Agreements (PTAs) involving the ten-member Association of Southeast Asian Nations (ASEAN) grouping, as well as Australia, New Zealand, China, India, Japan and Korea. We utilize an augmented gravity model...