汇率作为汇率的共同因素

ERN: Econometric Studies of Foreign Exchange Markets (Topic) Pub Date : 2012-08-30 DOI:10.2139/ssrn.2138713

Ryan Greenaway, Nelson C. Mark, Donggyu Sul, Jyh‐Lin Wu

{"title":"汇率作为汇率的共同因素","authors":"Ryan Greenaway, Nelson C. Mark, Donggyu Sul, Jyh‐Lin Wu","doi":"10.2139/ssrn.2138713","DOIUrl":null,"url":null,"abstract":"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, Swissfranc/dollar and yen/dollar exchange rates as empirical counterparts to these common factors. These empirical factors explain a large proportio no f exchange rate variation over time and have significant in-sample and out-of-sample predictive power.","PeriodicalId":355463,"journal":{"name":"ERN: Econometric Studies of Foreign Exchange Markets (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"31","resultStr":"{\"title\":\"Exchange Rates as Exchange Rate Common Factors\",\"authors\":\"Ryan Greenaway, Nelson C. Mark, Donggyu Sul, Jyh‐Lin Wu\",\"doi\":\"10.2139/ssrn.2138713\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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, Swissfranc/dollar and yen/dollar exchange rates as empirical counterparts to these common factors. These empirical factors explain a large proportio no f exchange rate variation over time and have significant in-sample and out-of-sample predictive power.\",\"PeriodicalId\":355463,\"journal\":{\"name\":\"ERN: Econometric Studies of Foreign Exchange Markets (Topic)\",\"volume\":\"29 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-08-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"31\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Econometric Studies of Foreign Exchange Markets (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2138713\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Econometric Studies of Foreign Exchange Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2138713","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 31

摘要

对1999年1月至2010年12月期间的23种名义汇率进行的因子分析得出三个共同因素。本文确定欧元/美元，瑞士法郎/美元和日元/美元汇率作为这些共同因素的经验对应。这些经验因素解释了汇率随时间变化的很大比例，并具有显著的样本内和样本外预测能力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

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, Swissfranc/dollar and yen/dollar exchange rates as empirical counterparts to these common factors. These empirical factors explain a large proportio no f exchange rate variation over time and have significant in-sample and out-of-sample predictive power.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

ERN: Econometric Studies of Foreign Exchange Markets (Topic)

自引率

0.00%

发文量