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
Authors:	Greenaway, Ryan
Other Persons:	Mark, Nelson C. (contributor) ; Sul, Donggyu (contributor) ; Wu, Jyh-Lin (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Wechselkurs \| Exchange rate \| Wechselkurstheorie \| Exchange rate theory \| Wechselkurspolitik \| Exchange rate policy

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Extent:	1 Online-Ressource (29 p)
Series:	HKIMR Working Paper ; No.21/2012
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 30, 2012 erstellt
Other identifiers:	10.2139/ssrn.2138713 [DOI]
Classification:	F31 - Foreign Exchange ; F37 - International Finance Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013101334