This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange...

As the world's largest trading bloc, the RCEP, is believed to play a non-neglectable role in the post-pandemic recovery. By looking into the shocks in early 2020 that affect the stock markets of RCEP participating regions, we measure the stock market reaction to common risks before the RCEP...

Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....