Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - In: The North American Journal of Economics and Finance 23 (2012) 1, pp. 38-53
This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic...